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

Learning enhancement of radial basis function network with particle swarm optimization

Back propagation (BP) algorithm is the most common technique in Artificial Neural Network (ANN) learning, and this includes Radial Basis Function Network. However, major disadvantages of BP are its convergence rate is relatively slow and always being trapped at the local minima. To overcome this problem, Particle Swarm Optimization (PSO) has been implemented to enhance ANN learning to increase the performance of network in terms of convergence rate and accuracy. In Back Propagation Radial Basis Function Network (BP-RBFN), there are many elements to be considered. These include the number of input nodes, hidden nodes, output nodes, learning rate, bias, minimum error and activation/transfer functions. These elements will affect the speed of RBF Network learning. In this study, Particle Swarm Optimization (PSO) is incorporated into RBF Network to enhance the learning performance of the network. Two algorithms have been developed on error optimization for Back Propagation of Radial Basis Function Network (BP-RBFN) and Particle Swarm Optimization of Radial Basis Function Network (PSO-RBFN) to seek and generate better network performance. The results show that PSO-RBFN give promising outputs with faster convergence rate and better classifications compared to BP-RBFN

Forecasting bus passenger flows by using a clustering-based support vector regression approach

As a significant component of the intelligent transportation system, forecasting bus passenger flows plays a key role in resource allocation, network planning, and frequency setting. However, it remains challenging to recognize high fluctuations, nonlinearity, and periodicity of bus passenger flows due to varied destinations and departure times. For this reason, a novel forecasting model named as affinity propagation-based support vector regression (AP-SVR) is proposed based on clustering and nonlinear simulation. For the addressed approach, a clustering algorithm is first used to generate clustering-based intervals. A support vector regression (SVR) is then exploited to forecast the passenger flow for each cluster, with the use of particle swarm optimization (PSO) for obtaining the optimized parameters. Finally, the prediction results of the SVR are rearranged by chronological order rearrangement. The proposed model is tested using real bus passenger data from a bus line over four months. Experimental results demonstrate that the proposed model performs better than other peer models in terms of absolute percentage error and mean absolute percentage error. It is recommended that the deterministic clustering technique with stable cluster results (AP) can improve the forecasting performance significantly.info:eu-repo/semantics/publishedVersio

Storage Capacity Estimation of Commercial Scale Injection and Storage of CO2 in the Jacksonburg-Stringtown Oil Field, West Virginia

Geological capture, utilization and storage (CCUS) of carbon dioxide (CO2) in depleted oil and gas reservoirs is one method to reduce greenhouse gas emissions with enhanced oil recovery (EOR) and extending the life of the field. Therefore CCUS coupled with EOR is considered to be an economic approach to demonstration of commercial-scale injection and storage of anthropogenic CO2. Several critical issues should be taken into account prior to injecting large volumes of CO2, such as storage capacity, project duration and long-term containment. Reservoir characterization and 3D geological modeling are the best way to estimate the theoretical CO 2 storage capacity in mature oil fields. The Jacksonburg-Stringtown field, located in northwestern West Virginia, has produced over 22 million barrels of oil (MMBO) since 1895. The sandstone of the Late Devonian Gordon Stray is the primary reservoir.;The Upper Devonian fluvial sandstone reservoirs in Jacksonburg-Stringtown oil field, which has produced over 22 million barrels of oil since 1895, are an ideal candidate for CO2 sequestration coupled with EOR. Supercritical depth (\u3e2500 ft.), minimum miscible pressure (941 psi), favorable API gravity (46.5°) and good water flood response are indicators that facilitate CO 2-EOR operations. Moreover, Jacksonburg-Stringtown oil field is adjacent to a large concentration of CO2 sources located along the Ohio River that could potentially supply enough CO2 for sequestration and EOR without constructing new pipeline facilities.;Permeability evaluation is a critical parameter to understand the subsurface fluid flow and reservoir management for primary and enhanced hydrocarbon recovery and efficient carbon storage. In this study, a rapid, robust and cost-effective artificial neural network (ANN) model is constructed to predict permeability using the model\u27s strong ability to recognize the possible interrelationships between input and output variables. Two commonly available conventional well logs, gamma ray and bulk density, and three logs derived variables, the slope of GR, the slope of bulk density and Vsh were selected as input parameters and permeability was selected as desired output parameter to train and test an artificial neural network. The results indicate that the ANN model can be applied effectively in permeability prediction.;Porosity is another fundamental property that characterizes the storage capability of fluid and gas bearing formations in a reservoir. In this study, a support vector machine (SVM) with mixed kernels function (MKF) is utilized to construct the relationship between limited conventional well log suites and sparse core data. The input parameters for SVM model consist of core porosity values and the same log suite as ANN\u27s input parameters, and porosity is the desired output. Compared with results from the SVM model with a single kernel function, mixed kernel function based SVM model provide more accurate porosity prediction values.;Base on the well log analysis, four reservoir subunits within a marine-dominated estuarine depositional system are defined: barrier sand, central bay shale, tidal channels and fluvial channel subunits. A 3-D geological model, which is used to estimate theoretical CO2 sequestration capacity, is constructed with the integration of core data, wireline log data and geological background knowledge. Depending on the proposed 3-D geological model, the best regions for coupled CCUS-EOR are located in southern portions of the field, and the estimated CO2 theoretical storage capacity for Jacksonburg-Stringtown oil field vary between 24 to 383 million metric tons. The estimation results of CO2 sequestration and EOR potential indicate that the Jacksonburg-Stringtown oilfield has significant potential for CO2 storage and value-added EOR