Crude Oil Prices Forecasting: Time Series vs. SVR Models

This research explores the weekly crude oil price data from U.S. Energy Information Administration over the time period 2009 - 2017 to test the forecasting accuracy by comparing time series models such as simple exponential smoothing (SES), moving average (MA), and autoregressive integrated moving average (ARIMA) against machine learning support vector regression (SVR) models. The main purpose of this research is to determine which model provides the best forecasting results for crude oil prices in light of the importance of crude oil price forecasting and its implications to the economy. While SVR is often considered the best forecasting model in the main stream literature, this research investigates its computational insights in terms of parameter selections and overfitting potential, in addition to exploring forecasting accuracy and model comparison. The results of this research can be generalized to forecast other business and economic time series data such as stock market prices, product sales, and government statistics

Statistical arbitrage powered by Explainable Artificial Intelligence

Machine learning techniques have recently become the norm for detecting patterns in financial markets. However, relying solely on machine learning algorithms for decision-making can have negative consequences, especially in a critical domain such as the financial one. On the other hand, it is well-known that transforming data into actionable insights can pose a challenge even for seasoned practitioners, particularly in the financial world. Given these compelling reasons, this work proposes a machine learning approach powered by eXplainable Artificial Intelligence techniques integrated into a statistical arbitrage trading pipeline. Specifically, we propose three methods to discard irrelevant features for the prediction task. We evaluate the approaches on historical data of component stocks of the S&P500 index and aim at improving not only the prediction performance at the stock level but also overall at the stock set level. Our analysis shows that our trading strategies that include such feature selection methods improve the portfolio performances by providing predictive signals whose information content suffices and is less noisy than the one embedded in the whole feature set. By performing an in-depth risk-return analysis, we show that the proposed trading strategies powered by explainable AI outperform highly competitive trading strategies considered as baselines

Electricity price forecasting utilizing machine learning in MIBEL

Short term electricity price forecasts have become increasingly important in the last few decades due to the rise of more competitive electricity markets throughout the globe. Accurate forecasts are now essential for market players to maximize their profits and hedge against risk, hence various forecasting methodologies have been applied to electricity price forecasting in the last few decades. This dissertation explores the main methodologies and how accurately can three popular machine learning models, SVR LSTM and XGBoost, predict prices in the Iberian market of electricity. Additionally, a study on input variables and their relationship with the final price is made

Enhanced Power System Operational Performance with Anticipatory Control under Increased Penetration of Wind Energy

abstract: As the world embraces a sustainable energy future, alternative energy resources, such as wind power, are increasingly being seen as an integral part of the future electric energy grid. Ultimately, integrating such a dynamic and variable mix of generation requires a better understanding of renewable generation output, in addition to power grid systems that improve power system operational performance in the presence of anticipated events such as wind power ramps. Because of the stochastic, uncontrollable nature of renewable resources, a thorough and accurate characterization of wind activity is necessary to maintain grid stability and reliability. Wind power ramps from an existing wind farm are studied to characterize persistence forecasting errors using extreme value analysis techniques. In addition, a novel metric that quantifies the amount of non-stationarity in time series wind power data was proposed and used in a real-time algorithm to provide a rigorous method that adaptively determines training data for forecasts. Lastly, large swings in generation or load can cause system frequency and tie-line flows to deviate from nominal, so an anticipatory MPC-based secondary control scheme was designed and integrated into an automatic generation control loop to improve the ability of an interconnection to respond to anticipated large events and fluctuations in the power system.Dissertation/ThesisDoctoral Dissertation Electrical Engineering 201

Identifying Real Estate Opportunities using Machine Learning

The real estate market is exposed to many fluctuations in prices because of existing correlations with many variables, some of which cannot be controlled or might even be unknown. Housing prices can increase rapidly (or in some cases, also drop very fast), yet the numerous listings available online where houses are sold or rented are not likely to be updated that often. In some cases, individuals interested in selling a house (or apartment) might include it in some online listing, and forget about updating the price. In other cases, some individuals might be interested in deliberately setting a price below the market price in order to sell the home faster, for various reasons. In this paper, we aim at developing a machine learning application that identifies opportunities in the real estate market in real time, i.e., houses that are listed with a price substantially below the market price. This program can be useful for investors interested in the housing market. We have focused in a use case considering real estate assets located in the Salamanca district in Madrid (Spain) and listed in the most relevant Spanish online site for home sales and rentals. The application is formally implemented as a regression problem that tries to estimate the market price of a house given features retrieved from public online listings. For building this application, we have performed a feature engineering stage in order to discover relevant features that allows for attaining a high predictive performance. Several machine learning algorithms have been tested, including regression trees, k-nearest neighbors, support vector machines and neural networks, identifying advantages and handicaps of each of them.Comment: 24 pages, 13 figures, 5 table

Framework for collaborative intelligence in forecasting day-ahead electricity price

Electricity price forecasting in wholesale markets is an essential asset for deciding bidding strategies and operational schedules. The decision making process is limited if no understanding is given on how and why such electricity price points have been forecast. The present article proposes a novel framework that promotes human–machine collaboration in forecasting day-ahead electricity price in wholesale markets. The framework is based on a new model architecture that uses a plethora of statistical and machine learning models, a wide range of exogenous features, a combination of several time series decomposition methods and a collection of time series characteristics based on signal processing and time series analysis methods. The model architecture is supported by open-source automated machine learning platforms that provide a baseline reference used for comparison purposes. The objective of the framework is not only to provide forecasts, but to promote a human-in-the-loop approach by providing a data story based on a collection of model-agnostic methods aimed at interpreting the mechanisms and behavior of the new model architecture and its predictions. The framework has been applied to the Spanish wholesale market. The forecasting results show good accuracy on mean absolute error (1.859, 95% HDI [0.575, 3.924] EUR (MWh)−1) and mean absolute scaled error (0.378, 95% HDI [0.091, 0.934]). Moreover, the framework demonstrates its human-centric capabilities by providing graphical and numeric explanations that augments understanding on the model and its electricity price point forecasts

A new recursive dynamic factor analysis for point and interval forecast of electricity price

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An efficient framework for short-term electricity price forecasting in deregulated power market

It is widely acknowledged that electricity price forecasting become an essential factor in operational activities, planning, and scheduling for the participant in the price-setting market, nowadays. Nevertheless, electricity price became a complex signal due to its non-stationary, non-linearity, and time-variant behavior. Consequently, a variety of artificial intelligence techniques are proposed to provide an efficient method for short-term electricity price forecasting. BSA as the recent augmentation of optimization technique, yield the potential of searching a closed-form solution in mathematical modeling with a higher probability, obviating the necessity to comprehend the correlations between variables. Concurrently, this study also developed a feature selection technique, to select the input variables subsets that have a substantial implication on forecasting of electricity price, based on a combination of mutual information (MI) and SVM. For the verification of simulation results, actual data sets from the Ontario energy market in the year 2020 covering various weather seasons are acquired. Finally, the obtained results demonstrate the feasibility of the proposed strategy through improved preciseness in comparison with the distinctive methods.©2021 Institute of Electrical and Electronics Engineers. This work is licensed under a Creative Commons Attribution 4.0 License. For more information, see https://creativecommons.org/licenses/by/4.0/This research has been supported by University of Vaasa under Profi4/WP2 project with the financial support provided by the Academy of Finland.fi=vertaisarvioitu|en=peerReviewed