PSO based Neural Networks vs. Traditional Statistical Models for Seasonal Time Series Forecasting

Seasonality is a distinctive characteristic which is often observed in many practical time series. Artificial Neural Networks (ANNs) are a class of promising models for efficiently recognizing and forecasting seasonal patterns. In this paper, the Particle Swarm Optimization (PSO) approach is used to enhance the forecasting strengths of feedforward ANN (FANN) as well as Elman ANN (EANN) models for seasonal data. Three widely popular versions of the basic PSO algorithm, viz. Trelea-I, Trelea-II and Clerc-Type1 are considered here. The empirical analysis is conducted on three real-world seasonal time series. Results clearly show that each version of the PSO algorithm achieves notably better forecasting accuracies than the standard Backpropagation (BP) training method for both FANN and EANN models. The neural network forecasting results are also compared with those from the three traditional statistical models, viz. Seasonal Autoregressive Integrated Moving Average (SARIMA), Holt-Winters (HW) and Support Vector Machine (SVM). The comparison demonstrates that both PSO and BP based neural networks outperform SARIMA, HW and SVM models for all three time series datasets. The forecasting performances of ANNs are further improved through combining the outputs from the three PSO based models.Comment: 4 figures, 4 tables, 31 references, conference proceeding

An Investigation of Assessment and Modelling the Water Quality of Rivers Based on Artificial Neural Networks- An Initiative towards the River Ganga

Currently many type of research work is going on for assessing and modelling the water quality of rivers in India and especially in Abroad. There has been a lot of attention towards the use of artificial neural networks (ANNs) for solving scienti?c research, environmental and engineering computing based problems which are highly complex and non-linear in nature only because of their capability to be used for an extensive range of applications like classification, prediction and clustering. It is being increasingly used for prediction and forecasting in various areas like climate, rainfall and water quality. In this paper, we have presented an investigation of existing research work that has been done for assessing and modelling the water quality of various rivers using the technique of artificial neural networks. It was found that the ANN approach turned out to be an efficient approach for water quality modelling and forecasting. All these review work really stirred new researchers to work in this field by introducing new data set, parameters and an optimal approach based on ANNs. We shall take forth this work as an initiative towards the water quality (WQ) modelling of the river Ganga as our future work

Measuring, Predicting and Visualizing Short-Term Change in Word Representation and Usage in VKontakte Social Network

Language in social media is extremely dynamic: new words emerge, trend and disappear, while the meaning of existing words can fluctuate over time. Such dynamics are especially notable during a period of crisis. This work addresses several important tasks of measuring, visualizing and predicting short term text representation shift, i.e. the change in a word's contextual semantics, and contrasting such shift with surface level word dynamics, or concept drift, observed in social media streams. Unlike previous approaches on learning word representations from text, we study the relationship between short-term concept drift and representation shift on a large social media corpus - VKontakte posts in Russian collected during the Russia-Ukraine crisis in 2014-2015. Our novel contributions include quantitative and qualitative approaches to (1) measure short-term representation shift and contrast it with surface level concept drift; (2) build predictive models to forecast short-term shifts in meaning from previous meaning as well as from concept drift; and (3) visualize short-term representation shift for example keywords to demonstrate the practical use of our approach to discover and track meaning of newly emerging terms in social media. We show that short-term representation shift can be accurately predicted up to several weeks in advance. Our unique approach to modeling and visualizing word representation shifts in social media can be used to explore and characterize specific aspects of the streaming corpus during crisis events and potentially improve other downstream classification tasks including real-time event detection

The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks: Evidence from Emerging Markets

This paper proposes a powerful methodology wavelet networks to investigate the effects of international F/X markets on emerging markets currencies. We used EUR/USD parity as input indicator (international F/X markets) and three emerging markets currencies as Brazilian Real, Turkish Lira and Russian Ruble as output indicator (emerging markets currency). We test if the effects of international F/X markets change across different timescale. Using wavelet networks, we showed that the effects of international F/X markets increase with higher timescale. This evidence shows that the causality of international F/X markets on emerging markets should be tested based on 64-128 days effect. We also find that the effects of EUR/USD parity on Turkish Lira is higher on 17-32 days and 65-128 days scales and this evidence shows that Turkish lira is less stable compare to other emerging markets currencies as international F/X markets effects Turkish lira on shorten time scale.F/X Markets; Emerging markets; Wavelet networks; Wavelets; Neural networks

Time series prediction with simple recurrent neural networks

Simple recurrent neural networks are widely used in time series prediction. Most researchers and application developers often choose arbitrarily between Elman or Jordan simple recurrent neural networks for their applications. A hybrid of the two called Elman-Jordan (or Multi-recurrent) neural network is also being used. In this study, we evaluated the performance of these neural networks on three established bench mark time series prediction problems. Results from the experiments showed that Jordan neural network performed significantly better than the others. However, the results indicated satisfactory forecasting performance by the other two neural networks.Key Words: Time Series Prediction, Artificial Neural Network, Recurrent NN, Resilient Propagation

Big 5 ASEAN capital markets forecasting using WEMA method

ASEAN through ASEAN Economics Community (AEC) 2020 treaty has proposed financial integration via capital markets integration in order to aim comprehensive ASEAN economic integration. Therefore, the need to have a proper prediction of ASEAN capital market becomes a major issue. In this study, we took big 5 ASEAN capital markets, i.e. Straits Times Index (STI), Kuala Lumpur Stock Exchange (KLSE), Stock Exchange of Thailand (SET), Jakarta Stock Exchange (JKSE), and Philippine Stock Exchange (PSE) to be forecasted using WEMA method. Weighted Exponential Moving Average (WEMA) is a new hybrid moving average method which combines the weighting factor calculation in Weighted Moving Average (WMA) with the procedure of Exponential Moving Average (EMA). WEMA has successfully been implemented and used to forecaste discrete time series data, but never being used to forecast ASEAN capital markets. In this study, we took further action by implementing the WEMA method with brute force approach for scaling factor tuning on big 5 ASEAN capital markets. From the experimental results, we found that WEMA has successfully forecasted all those exchanges. By looking at the forecast error measurement, it gives the best performance on PSE and worst performance on SET dataset among all datasets being considered in this study