European exchange trading funds trading with locally weighted support vector regression

In this paper, two different Locally Weighted Support Vector Regression (wSVR) algorithms are generated and applied to the task of forecasting and trading five European Exchange Traded Funds. The trading application covers the recent European Monetary Union debt crisis. The performance of the proposed models is benchmarked against traditional Support Vector Regression (SVR) models. The Radial Basis Function, the Wavelet and the Mahalanobis kernel are explored and tested as SVR kernels. Finally, a novel statistical SVR input selection procedure is introduced based on a principal component analysis and the Hansen, Lunde, and Nason (2011) model confidence test. The results demonstrate the superiority of the wSVR models over the traditional SVRs and of the v-SVR over the ε-SVR algorithms. We note that the performance of all models varies and considerably deteriorates in the peak of the debt crisis. In terms of the kernels, our results do not confirm the belief that the Radial Basis Function is the optimum choice for financial series

A hybrid neuro--wavelet predictor for QoS control and stability

For distributed systems to properly react to peaks of requests, their adaptation activities would benefit from the estimation of the amount of requests. This paper proposes a solution to produce a short-term forecast based on data characterising user behaviour of online services. We use \emph{wavelet analysis}, providing compression and denoising on the observed time series of the amount of past user requests; and a \emph{recurrent neural network} trained with observed data and designed so as to provide well-timed estimations of future requests. The said ensemble has the ability to predict the amount of future user requests with a root mean squared error below 0.06\%. Thanks to prediction, advance resource provision can be performed for the duration of a request peak and for just the right amount of resources, hence avoiding over-provisioning and associated costs. Moreover, reliable provision lets users enjoy a level of availability of services unaffected by load variations

Predicting wind energy generation with recurrent neural networks

Decarbonizing the energy supply requires extensive use of renewable generation. Their intermittent nature requires to obtain accurate forecasts of future generation, at short, mid and long term. Wind Energy generation prediction is based on the ability to forecast wind intensity. This problem has been approached using two families of methods one based on weather forecasting input (Numerical Weather Model Prediction) and the other based on past observations (time series forecasting). This work deals with the application of Deep Learning to wind time series. Wind Time series are non-linear and non-stationary, making their forecasting very challenging. Deep neural networks have shown their success recently for problems involving sequences with non-linear behavior. In this work, we perform experiments comparing the capability of different neural network architectures for multi-step forecasting in a 12 h ahead prediction. For the Time Series input we used the US National Renewable Energy Laboratory’s WIND Dataset [3], (the largest available wind and energy dataset with over 120,000 physical wind sites), this dataset is evenly spread across all the North America geography which has allowed us to obtain conclusions on the relationship between physical site complexity and forecast accuracy. In the preliminary results of this work it can be seen a relationship between the error (measured as R2R2 ) and the complexity of the terrain, and a better accuracy score by some Recurrent Neural Network Architectures.Peer ReviewedPostprint (author's final draft

Modeling, forecasting and trading the EUR exchange rates with hybrid rolling genetic algorithms: support vector regression forecast combinations

The motivation of this paper is to introduce a hybrid Rolling Genetic Algorithm-Support Vector Regression (RG-SVR) model for optimal parameter selection and feature subset combination. The algorithm is applied to the task of forecasting and trading the EUR/USD, EUR/GBP and EUR/JPY exchange rates. The proposed methodology genetically searches over a feature space (pool of individual forecasts) and then combines the optimal feature subsets (SVR forecast combinations) for each exchange rate. This is achieved by applying a fitness function specialized for financial purposes and adopting a sliding window approach. The individual forecasts are derived from several linear and non-linear models. RG-SVR is benchmarked against genetically and non-genetically optimized SVRs and SVMs models that are dominating the relevant literature, along with the robust ARBF-PSO neural network. The statistical and trading performance of all models is investigated during the period of 1999–2012. As it turns out, RG-SVR presents the best performance in terms of statistical accuracy and trading efficiency for all the exchange rates under study. This superiority confirms the success of the implemented fitness function and training procedure, while it validates the benefits of the proposed algorithm

Wind energy forecasting with neural networks: a literature review

Renewable energy is intermittent by nature and to integrate this energy into the Grid while assuring safety and stability the accurate forecasting of there newable energy generation is critical. Wind Energy prediction is based on the ability to forecast wind. There are many methods for wind forecasting based on the statistical properties of the wind time series and in the integration of meteorological information, these methods are being used commercially around the world. But one family of new methods for wind power fore castingis surging based on Machine Learning Deep Learning techniques. This paper analyses the characteristics of the Wind Speed time series data and performs a literature review of recently published works of wind power forecasting using Machine Learning approaches (neural and deep learning networks), which have been published in the last few years.Peer ReviewedPostprint (published version

Short-term forecasting photovoltaic solar power for home energy management systems

Accurate photovoltaic (PV) power forecasting is crucial to achieving massive PV integration in several areas, which is needed to successfully reduce or eliminate carbon dioxide from energy sources. This paper deals with short-term multi-step PV power forecasts used in model-based predictive control for home energy management systems. By employing radial basis function (RBFs) artificial neural networks (ANN), designed using a multi-objective genetic algorithm (MOGA) with data selected by an approximate convex-hull algorithm, it is shown that excellent forecasting results can be obtained. Two case studies are used: a special house located in the USA, and the other a typical residential house situated in the south of Portugal. In the latter case, one-step-ahead values for unscaled root mean square error (RMSE), mean relative error (MRE), normalized mean average error (NMAE), mean absolute percentage error (MAPE) and R2 of 0.16, 1.27%, 1.22%, 8% and 0.94 were obtained, respectively. These results compare very favorably with existing alternatives found in the literature.Programa Operacional Portugal 2020 and Operational Program CRESC Algarve 2020 grant 01/SAICT/2018. Antonio Ruano acknowledges the support of Fundação para a Ciência e Tecnologia, through IDMEC, under LAETA, grant UIDB/50022/2020.info:eu-repo/semantics/publishedVersio