Forecasting foreign exchange rates with adaptive neural networks using radial basis functions and particle swarm optimization

The motivation for this paper is to introduce a hybrid Neural Network architecture of Particle Swarm Optimization and Adaptive Radial Basis Function (ARBF-PSO), a time varying leverage trading strategy based on Glosten, Jagannathan and Runkle (GJR) volatility forecasts and a Neural Network fitness function for financial forecasting purposes. This is done by benchmarking the ARBF-PSO results with those of three different Neural Networks architectures, a Nearest Neighbors algorithm (k-NN), an autoregressive moving average model (ARMA), a moving average convergence/divergence model (MACD) plus a naïve strategy. More specifically, the trading and statistical performance of all models is investigated in a forecast simulation of the EUR/USD, EUR/GBP and EUR/JPY ECB exchange rate fixing time series over the period January 1999 to March 2011 using the last two years for out-of-sample testing

Modeling Long- and Short-Term Temporal Patterns with Deep Neural Networks

Multivariate time series forecasting is an important machine learning problem across many domains, including predictions of solar plant energy output, electricity consumption, and traffic jam situation. Temporal data arise in these real-world applications often involves a mixture of long-term and short-term patterns, for which traditional approaches such as Autoregressive models and Gaussian Process may fail. In this paper, we proposed a novel deep learning framework, namely Long- and Short-term Time-series network (LSTNet), to address this open challenge. LSTNet uses the Convolution Neural Network (CNN) and the Recurrent Neural Network (RNN) to extract short-term local dependency patterns among variables and to discover long-term patterns for time series trends. Furthermore, we leverage traditional autoregressive model to tackle the scale insensitive problem of the neural network model. In our evaluation on real-world data with complex mixtures of repetitive patterns, LSTNet achieved significant performance improvements over that of several state-of-the-art baseline methods. All the data and experiment codes are available online.Comment: Accepted by SIGIR 201

Artificial intelligence applied to demand forecasting

Objectius de Desenvolupament Sostenible::7 - Energia Assequible i No Contaminant::7.b - Per a 2030, ampliar la infraestructura i millorar la tecnologia per tal d’oferir serveis d’energia moderns i sos­tenibles per a tots els països en desenvolupament, en particular els països menys avançats, els petits estats insulars en desenvolupament i els països en desenvolupament sense litoral, d’acord amb els programes de suport respectiu

Deep learning for time series forecasting: The electric load case

Management and efficient operations in critical infrastructures such as smart grids take huge advantage of accurate power load forecasting, which, due to its non-linear nature, remains a challenging task. Recently, deep learning has emerged in the machine learning field achieving impressive performance in a vast range of tasks, from image classification to machine translation. Applications of deep learning models to the electric load forecasting problem are gaining interest among researchers as well as the industry, but a comprehensive and sound comparison among different-also traditional-architectures is not yet available in the literature. This work aims at filling the gap by reviewing and experimentally evaluating four real world datasets on the most recent trends in electric load forecasting, by contrasting deep learning architectures on short-term forecast (one-day-ahead prediction). Specifically, the focus is on feedforward and recurrent neural networks, sequence-to-sequence models and temporal convolutional neural networks along with architectural variants, which are known in the signal processing community but are novel to the load forecasting one

Predicting River Stage Using Recurrent Neural Networks

River stage prediction is an important problem in the water transportation industry. Accurate river stage predictions provide crucial information to barge and tow boat operators, port terminal captains, and lock management officials. Shallow river levels caused by prolonged drought impact the loading capacity of barges and tow boats. High river levels caused by excessive rainfall or snowmelt allow for greater tow capacities but make downstream transportation and lock management risky. Current academic river height prediction systems utilize either time series statistical analysis or machine learning algorithms to forecast future river heights, but systems that combine these two areas often limit their analysis to a single station or river basin. Empirical models require excessive computational power and cannot provide up-to-the-minute projections. In this project, the United States inland waterway system is divided into 24 subnetworks with the Atchafalaya, Lower Ohio, and Lower Mississippi subnetworks given special attention. Model generation, tuning, and testing processes are documented. The generated models are able to predict river stage one week in the future with root mean square error less than 0.75 feet for all three highlighted subnetworks

Persistence in complex systems

Persistence is an important characteristic of many complex systems in nature, related to how long the system remains at a certain state before changing to a different one. The study of complex systems' persistence involves different definitions and uses different techniques, depending on whether short-term or long-term persistence is considered. In this paper we discuss the most important definitions, concepts, methods, literature and latest results on persistence in complex systems. Firstly, the most used definitions of persistence in short-term and long-term cases are presented. The most relevant methods to characterize persistence are then discussed in both cases. A complete literature review is also carried out. We also present and discuss some relevant results on persistence, and give empirical evidence of performance in different detailed case studies, for both short-term and long-term persistence. A perspective on the future of persistence concludes the work.This research has been partially supported by the project PID2020-115454GB-C21 of the Spanish Ministry of Science and Innovation (MICINN). This research has also been partially supported by Comunidad de Madrid, PROMINT-CM project (grant ref: P2018/EMT-4366). J. Del Ser would like to thank the Basque Government for its funding support through the EMAITEK and ELKARTEK programs (3KIA project, KK-2020/00049), as well as the consolidated research group MATHMODE (ref. T1294-19). GCV work is supported by the European Research Council (ERC) under the ERC-CoG-2014 SEDAL Consolidator grant (grant agreement 647423)

Persistence in complex systems

Persistence is an important characteristic of many complex systems in nature, related to how long the system remains at a certain state before changing to a different one. The study of complex systems’ persistence involves different definitions and uses different techniques, depending on whether short-term or long-term persistence is considered. In this paper we discuss the most important definitions, concepts, methods, literature and latest results on persistence in complex systems. Firstly, the most used definitions of persistence in short-term and long-term cases are presented. The most relevant methods to characterize persistence are then discussed in both cases. A complete literature review is also carried out. We also present and discuss some relevant results on persistence, and give empirical evidence of performance in different detailed case studies, for both short-term and long-term persistence. A perspective on the future of persistence concludes the work.This research has been partially supported by the project PID2020-115454GB-C21 of the Spanish Ministry of Science and Innovation (MICINN). This research has also been partially supported by Comunidad de Madrid, PROMINT-CM project (grant ref: P2018/EMT-4366). J. Del Ser would like to thank the Basque Government for its funding support through the EMAITEK and ELKARTEK programs (3KIA project, KK-2020/00049), as well as the consolidated research group MATHMODE (ref. T1294-19). GCV work is supported by the European Research Council (ERC) under the ERC-CoG-2014 SEDAL Consolidator grant (grant agreement 647423)

Financial stress indices on the connectedness of systemic risk between economic powers and forecasting with recurrent neural networks

Els índexs d'estrés financer són un tipus d'indicadors que busquen donar una visió global sobre la situació de risc del sistema financer, al integrar en un sol estadístic un conjunt d'indicadors individuals que medeixen el risc existent dins d'un determinat segment del sistema financer. En aquest projecte explorem les interdependències del risc sistèmic entre les diferents potències europees i entre les tres principals potències financeres globals: Xina, Europa i Estats Units. A més, implementem una red Long Short-Term Memory (LSTM) per a predir aquests índexs d'estrés financers en tres horitzons de temps diferents, i comparem els nostres resultats amb models clàssics econométricos com els ARMA-GARCH.Los índices de estrés financiero son un tipo de indicadores que buscan dar una visión global sobre la situación de riesgo del sistema financiero, al integrar en un solo estadístico un conjunto de indicadores individuales que miden el riesgo existente dentro de un determinado segmento del sistema financiero. En este proyecto exploramos las interdependencias del riesgo sistémico entre las distintas potencias europeas y entre las tres principales potencias financieras globales: China, Europa y Estados Unidos. Además, implementamos una red Long Short-Term Memory (LSTM) para predecir tales índices de estrés financiero en tres horizontes de tiempo diferentes, y comparamos nuestros resultados con modelos econométricos clásicos como los ARMA-GARCH.Financial stress indices are a type of indicators that seek to provide an overall vision about the risk situation of the financial system, by comprising into a single statistic a set of individual indicators that measure, in some way, the existing risk within a certain segment of the financial system. In this project we explore the interdependencies of systemic risk between the different European powers and between the three main global financial powers: China, Europe and United States. Furthermore, we implement a Long Short-Term Memory (LSTM) network to predict such financial stress indices at three different time horizons, and compare our findings with classical econometric approaches such as ARMA-GARCH models

Recurrent Dictionary Learning for State-Space Models with an Application in Stock Forecasting

International audienceIn this work, we introduce a new modeling and inferential tool for dynamical processing of time series. The approach is called recurrent dictionary learning (RDL). The proposed model reads as a linear Gaussian Markovian state-space model involving two linear operators, the state evolution and the observation matrices, that we assumed to be unknown. These two unknown operators (that can be seen interpreted as dictionaries) and the sequence of hidden states are jointly learnt via an expectation-maximization algorithm. The RDL model gathers several advantages, namely online processing, probabilistic inference, and a high model expressiveness which is usually typical of neural networks. RDL is particularly well suited for stock forecasting. Its performance is illustrated on two problems: next day forecasting (regression problem) and next day trading (classification problem), given past stock market observations. Experimental results show that our proposed method excels over state-of-the-art stock analysis models such as CNN-TA, MFNN, and LSTM