Evolving time-lagged feedforward neural networks for time series forecasting

Time Series Forecasting (TSF) is an important tool to sup- port both individual and organizational decisions. In this work, we propose a novel automatic Evolutionary Time- Lagged Feedforward Network (ETLFN) approach for TSF, based on an Estimation Distribution Algorithm (EDA) that evolves not only Artificial Neural Network (ANN) parame- ters but also which set of time lags are fed into the fore- casting model. Such approach is compared with similar strategy that only selects ANN parameter and the conven- tional TSF ARIMA methodology. Several experiments were held by considering six time series from distinct domains. The obtained multi-step ahead forecasts were evaluated us- ing SMAPE error criteria. Overall, the proposed ETLFN method obtained the best forecasting results. Moreover, it favors simpler neural network models, thus requiring less computational effort.University Carlos IIICommunity of Madrid under project CCG10- UC3M/TIC-5174

Forecasting and Forecast Combination in Airline Revenue Management Applications

Predicting a variable for a future point in time helps planning for unknown future situations and is common practice in many areas such as economics, finance, manufacturing, weather and natural sciences. This paper investigates and compares approaches to forecasting and forecast combination that can be applied to service industry in general and to airline industry in particular. Furthermore, possibilities to include additionally available data like passenger-based information are discussed

Neural Network Approach in Forecasting Realized Variance Using High-Frequency Data

Background: Since high-frequency data have become available, an unbiased volatility estimator, i.e. realized variance (RV) can be computed. Commonly used models for RV forecasting suffer from strong persistence with a high sensitivity to the returns distribution assumption and they use only daily returns. Objectives: The main objective is measurement and forecasting of RV. Two approaches are compared: Heterogeneous AutoRegressive model (HAR-RV) and Feedforward Neural Networks (FNNs). Even though HAR-RV-type models describe RV stylized facts very well, they ignore its nonlinear behaviour. Therefore, FNN-HAR-type models are developed. Methods/Approach: Firstly, an optimal sampling frequency with application to the DAX index is chosen. Secondly, in and out of sample predictions within HAR models and FNNs are compared using RMSE, AIC, the Wald test and the DM test. Weights of FNN-HAR-type models are estimated using the BP algorithm. Results: The optimal sampling frequency of RV is 10 minutes. Within HAR-type models, HAR-RV-J has better, but not significant, forecasting performances, while FNN-HAR-J and FNN-LHAR-J have significantly better predictive accuracy in comparison to the FNN-HAR model. Conclusions: Compared to the traditional ones, FNN-HAR-type models are better in capturing nonlinear behaviour of RV. FNN-HAR-type models have better accuracy compared to traditional HAR-type models, but only on the sample data, whereas their out-of-sample predictive accuracy is approximately equal

Evolutionary optimization of sparsely connected and time-lagged neural networks for time series forecasting

Time Series Forecasting (TSF) is an important tool to support decision mak- ing (e.g., planning production resources). Artificial Neural Networks (ANN) are innate candidates for TSF due to advantages such as nonlinear learn- ing and noise tolerance. However, the search for the best model is a complex task that highly affects the forecasting performance. In this work, we propose two novel Evolutionary Artificial Neural Networks (EANN) approaches for TSF based on an Estimation Distribution Algorithm (EDA) search engine. The first new approach consist of Sparsely connected Evolutionary ANN (SEANN), which evolves more flexible ANN structures to perform multi-step ahead forecasts. The second one, consists of an automatic Time lag feature selection EANN (TEANN) approach that evolves not only ANN parameters (e.g., input and hidden nodes, training parameters) but also which set of time lags are fed into the forecasting model. Several experiments were held, using a set of six time series, from different real-world domains. Also, two error metrics (i.e., Mean Squared Error and Symmetric Mean Absolute Per- centage Error) were analyzed. The two EANN approaches were compared against a base EANN (with no ANN structure or time lag optimization) and four other methods (Autoregressive Integrated Moving Average method, Random Forest, Echo State Network and Support Vector Machine). Overall, the proposed SEANN and TEANN methods obtained the best forecasting results. Moreover, they favor simpler neural network models, thus requiring less computational effort when compared with the base EANN.The research reported here has been supported by the Spanish Ministry of Science and Innovation under project TRA2010-21371-C03-03 and FCT - Fundacao para a Ciencia e Tecnologia within the Project Scope PEst- OE/EEI/UI0319/2014. The authors want to thank specially Martin Stepnicka and Lenka Vavrickova for all their help. The authors also want to thank Ramon Sagarna for introducing the subject of EDA

Does money matter in inflation forecasting?

This paper provides the most fully comprehensive evidence to date on whether or not monetary aggregates are valuable for forecasting US inflation in the early to mid 2000s. We explore a wide range of different definitions of money, including different methods of aggregation and different collections of included monetary assets. In our forecasting experiment we use two non-linear techniques, namely, recurrent neural networks and kernel recursive least squares regression - techniques that are new to macroeconomics. Recurrent neural networks operate with potentially unbounded input memory, while the kernel regression technique is a finite memory predictor. The two methodologies compete to find the best fitting US inflation forecasting models and are then compared to forecasts from a naive random walk model. The best models were non-linear autoregressive models based on kernel methods. Our findings do not provide much support for the usefulness of monetary aggregates in forecasting inflation.Forecasting ; Inflation (Finance) ; Monetary theory

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