Improve Interval Optimization of FLR using Auto-speed Acceleration Algorithm

Inflation is a benchmark of a country's economic development. Inflation is very influential on various things, so forecasting inflation to know on upcoming inflation will impact positively. There are various methods used to perform forecasting, one of which is the fuzzy time series forecasting with maximum results. Fuzzy logical relationships (FLR) model is a very good in doing forecasting. However, there are some parameters that the value needs to be optimised. Interval is a parameter which is highly influence toward forecasting result. The utilizing optimization with hybrid automatic clustering and particle swarm optimization (ACPSO). Automatic clustering can do interval formation with just the right amount. While the PSO can optimise the value of each interval and it is providing maximum results. This study proposes the improvement in find the solution using auto-speed acceleration algorithm. Auto-speed acceleration algorithm can find a global solution which is hard to reach by the PSO and time of computation is faster. The results of the acquired solutions can provide the right interval so that the value of the FLR can perform forecasting with maximum results

A NEW HYBRID FUZZY TIME SERIES FORECASTING MODEL BASED ON COMBINING FUZZY C-MEANS CLUSTERING AND PARTICLE SWAM OPTIMIZATION

Fuzzy time series (FTS) model is one of the effective tools that can be used to identify factors in order to solve the complex process and uncertainty. Nowadays, it has been widely used in many forecasting problems. However, establishing effective fuzzy relationships groups, finding proper length of each interval, and building defuzzification rule are three issues that exist in FTS model. Therefore, in this paper, a novel FTS forecasting model based on fuzzy C-means (FCM) clustering and particle swarm optimization (PSO) was developed to enhance the forecasting accuracy. Firstly, the FCM clustering is used to divide the historical data into intervals with different lengths. After generating interval, the historical data is fuzzified into fuzzy sets. Following, fuzzy relationship groups were established based on the appearance history of the fuzzy sets on the right-hand side of the fuzzy logical relationships with the aim to serve for calculating the forecasting output.  Finally, the proposed model combined with PSO algorithm was applied to adjust interval lengths and find proper intervals in the universe of discourse for obtaining the best forecasting accuracy. To verify the effectiveness of the forecasting model, three numerical datasets (enrolments data of the University of Alabama, the Taiwan futures exchange –TAIFEX data and yearly deaths in car road accidents in Belgium) are selected to illustrate the proposed model. The experimental results indicate that the proposed model is better than any existing forecasting models in term of forecasting accuracy based on the first – order and high-order FTS

Neutrosophic soft sets forecasting model for multi-attribute time series

Traditional time series forecasting models mainly assume a clear and definite functional relationship between historical values and current/future values of a dataset. In this paper, we extended current model by generating multi-attribute forecasting rules based on consideration of combining multiple related variables. In this model, neutrosophic soft sets (NSSs) are employed to represent historical statues of several closely related attributes in stock market such as volumes, stock market index and daily amplitudes

Triangular Fuzzy Time Series for Two Factors High-order based on Interval Variations

Fuzzy time series (FTS) firstly introduced by Song and Chissom has been developed to forecast such as enrollment data, stock index, air pollution, etc. In forecasting FTS data several authors define universe of discourse using coefficient values with any integer or real number as a substitute. This study focuses on interval variation in order to get better evaluation. Coefficient values analyzed and compared in unequal partition intervals and equal partition intervals with base and triangular fuzzy membership functions applied in two factors high-order. The study implemented in the Shen-hu stock index data. The models evaluated by average forecasting error rate (AFER) and compared with existing methods. AFER value 0.28% for Shen-hu stock index daily data. Based on the result, this research can be used as a reference to determine the better interval and degree membership value in the fuzzy time series.

The cross-association relation based on intervals ratio in fuzzy time series

The fuzzy time series (FTS) is a forecasting model based on linguistic values. This forecasting method was developed in recent years after the existing ones were insufficiently accurate. Furthermore, this research modified the accuracy of existing methods for determining and the partitioning universe of discourse, fuzzy logic relationship (FLR), and variation historical data using intervals ratio, cross association relationship, and rubber production Indonesia data, respectively. The modifed steps start with the intervals ratio to partition the determined universe discourse. Then the triangular fuzzy sets were built, allowing fuzzification. After this, the FLR are built based on the cross association relationship, leading to defuzzification. The average forecasting error rate (AFER) was used to compare the modified results and the existing methods. Additionally, the simulations were conducted using rubber production Indonesia data from 2000-2020. With an AFER result of 4.77%<10%, the modification accuracy has a smaller error than previous methods, indicating  very good forecasting criteria. In addition, the coefficient values of D1 and D2 were automatically obtained from the intervals ratio algorithm. The future works modified the partitioning of the universe of discourse using frequency density to eliminate unused partition intervals

A refined approach for forecasting based on neutrosophic time series

This research introduces a neutrosophic forecasting approach based on neutrosophic time series (NTS). Historical data can be transformed into neutrosophic time series data to determine their truth, indeterminacy and falsity functions. The basis for the neutrosophication process is the score and accuracy functions of historical data. In addition, neutrosophic logical relationship groups (NLRGs) are determined and a deneutrosophication method for NTS is presented. The objective of this research is to suggest an idea of first-and high-order NTS. By comparing our approach with other approaches, we conclude that the suggested approach of forecasting gets better results compared to the other existing approaches of fuzzy, intuitionistic fuzzy, and neutrosophic time series

Nature inspired computational intelligence for financial contagion modelling

This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Financial contagion refers to a scenario in which small shocks, which initially affect only a few financial institutions or a particular region of the economy, spread to the rest of the financial sector and other countries whose economies were previously healthy. This resembles the “transmission” of a medical disease. Financial contagion happens both at domestic level and international level. At domestic level, usually the failure of a domestic bank or financial intermediary triggers transmission by defaulting on inter-bank liabilities, selling assets in a fire sale, and undermining confidence in similar banks. An example of this phenomenon is the failure of Lehman Brothers and the subsequent turmoil in the US financial markets. International financial contagion happens in both advanced economies and developing economies, and is the transmission of financial crises across financial markets. Within the current globalise financial system, with large volumes of cash flow and cross-regional operations of large banks and hedge funds, financial contagion usually happens simultaneously among both domestic institutions and across countries. There is no conclusive definition of financial contagion, most research papers study contagion by analyzing the change in the variance-covariance matrix during the period of market turmoil. King and Wadhwani (1990) first test the correlations between the US, UK and Japan, during the US stock market crash of 1987. Boyer (1997) finds significant increases in correlation during financial crises, and reinforces a definition of financial contagion as a correlation changing during the crash period. Forbes and Rigobon (2002) give a definition of financial contagion. In their work, the term interdependence is used as the alternative to contagion. They claim that for the period they study, there is no contagion but only interdependence. Interdependence leads to common price movements during periods both of stability and turmoil. In the past two decades, many studies (e.g. Kaminsky et at., 1998; Kaminsky 1999) have developed early warning systems focused on the origins of financial crises rather than on financial contagion. Further authors (e.g. Forbes and Rigobon, 2002; Caporale et al, 2005), on the other hand, have focused on studying contagion or interdependence. In this thesis, an overall mechanism is proposed that simulates characteristics of propagating crisis through contagion. Within that scope, a new co-evolutionary market model is developed, where some of the technical traders change their behaviour during crisis to transform into herd traders making their decisions based on market sentiment rather than underlying strategies or factors. The thesis focuses on the transformation of market interdependence into contagion and on the contagion effects. The author first build a multi-national platform to allow different type of players to trade implementing their own rules and considering information from the domestic and a foreign market. Traders’ strategies and the performance of the simulated domestic market are trained using historical prices on both markets, and optimizing artificial market’s parameters through immune - particle swarm optimization techniques (I-PSO). The author also introduces a mechanism contributing to the transformation of technical into herd traders. A generalized auto-regressive conditional heteroscedasticity - copula (GARCH-copula) is further applied to calculate the tail dependence between the affected market and the origin of the crisis, and that parameter is used in the fitness function for selecting the best solutions within the evolving population of possible model parameters, and therefore in the optimization criteria for contagion simulation. The overall model is also applied in predictive mode, where the author optimize in the pre-crisis period using data from the domestic market and the crisis-origin foreign market, and predict in the crisis period using data from the foreign market and predicting the affected domestic market

Intuitionistic Fuzzy Time Series Functions Approach for Time Series Forecasting

Fuzzy inference systems have been commonly used for time series forecasting in the literature. Adaptive network fuzzy inference system, fuzzy time series approaches and fuzzy regression functions approaches are popular among fuzzy inference systems. In recent years, intuitionistic fuzzy sets have been preferred in the fuzzy modeling and new fuzzy inference systems have been proposed based on intuitionistic fuzzy sets. In this paper, a new intuitionistic fuzzy regression functions approach is proposed based on intuitionistic fuzzy sets for forecasting purpose. This new inference system is called an intuitionistic fuzzy time series functions approach. The contribution of the paper is proposing a new intuitionistic fuzzy inference system. To evaluate the performance of intuitionistic fuzzy time series functions, twenty-three real-world time series data sets are analyzed. The results obtained from the intuitionistic fuzzy time series functions approach are compared with some other methods according to a root mean square error and mean absolute percentage error criteria. The proposed method has superior forecasting performance among all methods

State-of-the-Art Using Bibliometric Analysis of Wind-Speed and -Power Forecasting Methods Applied in Power Systems

The integration of wind energy into power systems has intensified as a result of the urgency for global energy transition. This requires more accurate forecasting techniques that can capture the variability of the wind resource to achieve better operative performance of power systems. This paper presents an exhaustive review of the state-of-the-art of wind-speed and -power forecasting models for wind turbines located in different segments of power systems, i.e., in large wind farms, distributed generation, microgrids, and micro-wind turbines installed in residences and buildings. This review covers forecasting models based on statistical and physical, artificial intelligence, and hybrid methods, with deterministic or probabilistic approaches. The literature review is carried out through a bibliometric analysis using VOSviewer and Pajek software. A discussion of the results is carried out, taking as the main approach the forecast time horizon of the models to identify their applications. The trends indicate a predominance of hybrid forecast models for the analysis of power systems, especially for those with high penetration of wind power. Finally, it is determined that most of the papers analyzed belong to the very short-term horizon, which indicates that the interest of researchers is in this time horizon