Abstract: In this paper, we propose a hybrid machine learning
system based on Genetic Algorithm (GA) and Support Vector
Machines (SVM) for stock market prediction. A variety of indicators
from the technical analysis field of study are used as input features.
We also make use of the correlation between stock prices of different
companies to forecast the price of a stock, making use of technical
indicators of highly correlated stocks, not only the stock to be
predicted. The genetic algorithm is used to select the set of most
informative input features from among all the technical indicators.
The results show that the hybrid GA-SVM system outperforms the
stand alone SVM system.
Abstract: To develop a process of extracting pixel values over the using of satellite remote sensing image data in Thailand. It is a very important and effective method of forecasting rainfall. This paper presents an approach for forecasting a possible rainfall area based on pixel values from remote sensing satellite images. First, a method uses an automatic extraction process of the pixel value data from the satellite image sequence. Then, a data process is designed to enable the inference of correlations between pixel value and possible rainfall occurrences. The result, when we have a high averaged pixel value of daily water vapor data, we will also have a high amount of daily rainfall. This suggests that the amount of averaged pixel values can be used as an indicator of raining events. There are some positive associations between pixel values of daily water vapor images and the amount of daily rainfall at each rain-gauge station throughout Thailand. The proposed approach was proven to be a helpful manual for rainfall forecasting from meteorologists by which using automated analyzing and interpreting process of meteorological remote sensing data.
Abstract: Financial forecasting is an example of signal processing problems. A number of ways to train/learn the network are available. We have used Levenberg-Marquardt algorithm for error back-propagation for weight adjustment. Pre-processing of data has reduced much of the variation at large scale to small scale, reducing the variation of training data.
Abstract: Co-integration models the long-term, equilibrium relationship of two or more related financial variables. Even if cointegration is found, in the short run, there may be deviations from the long run equilibrium relationship. The aim of this work is to forecast these deviations using neural networks and create a trading strategy based on them. A case study is used: co-integration residuals from Australian Bank Bill futures are forecast and traded using various exogenous input variables combined with neural networks. The choice of the optimal exogenous input variables chosen for each neural network, undertaken in previous work [1], is validated by comparing the forecasts and corresponding profitability of each, using a trading strategy.
Abstract: In the past decade, artificial neural networks (ANNs)
have been regarded as an instrument for problem-solving and
decision-making; indeed, they have already done with a substantial
efficiency and effectiveness improvement in industries and businesses.
In this paper, the Back-Propagation neural Networks (BPNs) will be
modulated to demonstrate the performance of the collaborative
forecasting (CF) function of a Collaborative Planning, Forecasting and
Replenishment (CPFR®) system. CPFR functions the balance between
the sufficient product supply and the necessary customer demand in a
Supply and Demand Chain (SDC). Several classical standard BPN will
be grouped, collaborated and exploited for the easy implementation of
the proposed modular ANN framework based on the topology of a
SDC. Each individual BPN is applied as a modular tool to perform the
task of forecasting SKUs (Stock-Keeping Units) levels that are
managed and supervised at a POS (point of sale), a wholesaler, and a
manufacturer in an SDC. The proposed modular BPN-based CF
system will be exemplified and experimentally verified using lots of
datasets of the simulated SDC. The experimental results showed that a
complex CF problem can be divided into a group of simpler
sub-problems based on the single independent trading partners
distributed over SDC, and its SKU forecasting accuracy was satisfied
when the system forecasted values compared to the original simulated
SDC data. The primary task of implementing an autonomous CF
involves the study of supervised ANN learning methodology which
aims at making “knowledgeable" decision for the best SKU sales plan
and stocks management.
Abstract: Spare parts inventory management is one of the major
areas of inventory research. Analysis of recent literature showed that
an approach integrating spare parts classification, demand
forecasting, and stock control policies is essential; however, adapting
this integrated approach is limited. This work presents an integrated
framework for spare part inventory management and an Excel based
application developed for the implementation of the proposed
framework. A multi-criteria analysis has been used for spare
classification. Forecasting of spare parts- intermittent demand has
been incorporated into the application using three different
forecasting models; namely, normal distribution, exponential
smoothing, and Croston method. The application is also capable of
running with different inventory control policies. To illustrate the
performance of the proposed framework and the developed
application; the framework is applied to different items at a service
organization. The results achieved are presented and possible areas
for future work are highlighted.
Abstract: In this paper, the application of neural networks to study the design of short-term temperature forecasting (STTF) Systems for Kermanshah city, west of Iran was explored. One important architecture of neural networks named Multi-Layer Perceptron (MLP) to model STTF systems is used. Our study based on MLP was trained and tested using ten years (1996-2006) meteorological data. The results show that MLP network has the minimum forecasting error and can be considered as a good method to model the STTF systems.
Abstract: The use of radar in Quantitative Precipitation Estimation (QPE) for radar-rainfall measurement is significantly beneficial. Radar has advantages in terms of high spatial and temporal condition in rainfall measurement and also forecasting. In Malaysia, radar application in QPE is still new and needs to be explored. This paper focuses on the Z/R derivation works of radarrainfall estimation based on rainfall classification. The works developed new Z/R relationships for Klang River Basin in Selangor area for three different general classes of rain events, namely low (10mm/hr, 30mm/hr) and also on more specific rain types during monsoon seasons. Looking at the high potential of Doppler radar in QPE, the newly formulated Z/R equations will be useful in improving the measurement of rainfall for any hydrological application, especially for flood forecasting.
Abstract: One of the most important requirements for the
operation and planning activities of an electrical utility is the
prediction of load for the next hour to several days out, known as
short term load forecasting. This paper presents the development of
an artificial neural network based short-term load forecasting model.
The model can forecast daily load profiles with a load time of one
day for next 24 hours. In this method can divide days of year with
using average temperature. Groups make according linearity rate of
curve. Ultimate forecast for each group obtain with considering
weekday and weekend. This paper investigates effects of temperature
and humidity on consuming curve. For forecasting load curve of
holidays at first forecast pick and valley and then the neural network
forecast is re-shaped with the new data. The ANN-based load models
are trained using hourly historical. Load data and daily historical
max/min temperature and humidity data. The results of testing the
system on data from Yazd utility are reported.
Abstract: This paper presents the applicability of artificial
neural networks for 24 hour ahead solar power generation forecasting
of a 20 kW photovoltaic system, the developed forecasting is suitable
for a reliable Microgrid energy management. In total four neural
networks were proposed, namely: multi-layred perceptron, radial
basis function, recurrent and a neural network ensemble consisting in
ensemble of bagged networks. Forecasting reliability of the proposed
neural networks was carried out in terms forecasting error
performance basing on statistical and graphical methods. The
experimental results showed that all the proposed networks achieved
an acceptable forecasting accuracy. In term of comparison the neural
network ensemble gives the highest precision forecasting comparing
to the conventional networks. In fact, each network of the ensemble
over-fits to some extent and leads to a diversity which enhances the
noise tolerance and the forecasting generalization performance
comparing to the conventional networks.
Abstract: The focus of this paper is to construct daily time series
exchange rate forecast models of Samoan Tala/USD and Tala/AUD
during the year 2008 to 2012 with neural network The performance
of the models was measured by using varies error functions such as
Root Square mean error (RSME), Mean absolute error (MAE), and
Mean absolute percentage error (MAPE). Our empirical findings
suggest that AR (1) model is an effective tool to forecast the
Tala/USD and Tala/AUD.
Abstract: Planning capacities when regenerating complex investment goods involves particular challenges in that the planning is subject to a large degree of uncertainty regarding load information. Using information fusion – by applying Bayesian Networks – a method is being developed for forecasting the anticipated expenditures (human labor, tool and machinery utilization, time etc.) for regenerating a good. The generated forecasts then later serve as a tool for planning capacities and ensure a greater stability in the planning processes.
Abstract: Since the pioneering work of Zadeh, fuzzy set theory has been applied to a myriad of areas. Song and Chissom introduced the concept of fuzzy time series and applied some methods to the enrollments of the University of Alabama. In recent years, a number of techniques have been proposed for forecasting based on fuzzy set theory methods. These methods have either used enrollment numbers or differences of enrollments as the universe of discourse. We propose using the year to year percentage change as the universe of discourse. In this communication, the approach of Jilani, Burney, and Ardil is modified by using the year to year percentage change as the universe of discourse. We use enrollment figures for the University of Alabama to illustrate our proposed method. The proposed method results in better forecasting accuracy than existing models.
Abstract: The nature of consumer products causes the difficulty
in forecasting the future demands and the accuracy of the forecasts
significantly affects the overall performance of the supply chain
system. In this study, two data mining methods, artificial neural
network (ANN) and support vector machine (SVM), were utilized to
predict the demand of consumer products. The training data used was
the actual demand of six different products from a consumer product
company in Thailand. The results indicated that SVM had a better
forecast quality (in term of MAPE) than ANN in every category of
products. Moreover, another important finding was the margin
difference of MAPE from these two methods was significantly high
when the data was highly correlated.
Abstract: Travel demand forecasting including four travel choices, i.e., trip generation, trip distribution, modal split and traffic assignment constructs the core of transportation planning. In its current application, travel demand forecasting has associated with three important issues, i.e., interface inconsistencies among four travel choices, inefficiency of commonly used solution algorithms, and undesirable multiple path solutions. In this paper, each of the three issues is extensively elaborated. An ideal unified framework for the combined model consisting of the four travel choices and variable demand functions is also suggested. Then, a few remarks are provided in the end of the paper
Abstract: Quantitative precipitation forecast (QPF) from
atmospheric model as input to hydrological model in an integrated
hydro-meteorological flood forecasting system has been operational
in many countries worldwide. High-resolution numerical weather
prediction (NWP) models with grid cell sizes between 2 and 14 km
have great potential in contributing towards reasonably accurate QPF.
In this study the potential of two NWP models to forecast
precipitation for a flood-prone area in a tropical region is examined.
The precipitation forecasts produced from the Fifth Generation Penn
State/NCAR Mesoscale (MM5) and Weather Research and
Forecasting (WRF) models are statistically verified with the observed
rain in Kelantan River Basin, Malaysia. The statistical verification
indicates that the models have performed quite satisfactorily for low
and moderate rainfall but not very satisfactory for heavy rainfall.
Abstract: In this paper we present an autoregressive model with
neural networks modeling and standard error backpropagation
algorithm training optimization in order to predict the gross domestic
product (GDP) growth rate of four countries. Specifically we propose
a kind of weighted regression, which can be used for econometric
purposes, where the initial inputs are multiplied by the neural
networks final optimum weights from input-hidden layer after the
training process. The forecasts are compared with those of the
ordinary autoregressive model and we conclude that the proposed
regression-s forecasting results outperform significant those of
autoregressive model in the out-of-sample period. The idea behind
this approach is to propose a parametric regression with weighted
variables in order to test for the statistical significance and the
magnitude of the estimated autoregressive coefficients and
simultaneously to estimate the forecasts.
Abstract: The prediction of financial time series is a very
complicated process. If the efficient market hypothesis holds, then the predictability of most financial time series would be a rather
controversial issue, due to the fact that the current price contains already all available information in the market. This paper extends
the Adaptive Neuro Fuzzy Inference System for High Frequency
Trading which is an expert system that is capable of using fuzzy reasoning combined with the pattern recognition capability of neural networks to be used in financial forecasting and trading in high
frequency. However, in order to eliminate unnecessary input in the
training phase a new event based volatility model was proposed.
Taking volatility and the scaling laws of financial time series into consideration has brought about the development of the Intraday Seasonality Observation Model. This new model allows the observation of specific events and seasonalities in data and subsequently removes any unnecessary data. This new event based
volatility model provides the ANFIS system with more accurate input
and has increased the overall performance of the system.
Abstract: In this paper discrete choice models, Logit and Probit
are examined in order to predict the economic recession or expansion
periods in USA. Additionally we propose an adaptive neuro-fuzzy
inference system with triangular membership function. We examine
the in-sample period 1947-2005 and we test the models in the out-of
sample period 2006-2009. The forecasting results indicate that the
Adaptive Neuro-fuzzy Inference System (ANFIS) model outperforms
significant the Logit and Probit models in the out-of sample period.
This indicates that neuro-fuzzy model provides a better and more
reliable signal on whether or not a financial crisis will take place.
Abstract: Discrete choice model is the most used methodology for studying traveler-s mode choice and demand. However, to calibrate the discrete choice model needs to have plenty of questionnaire survey. In this study, an aggregative model is proposed. The historical data of passenger volumes for high speed rail and domestic civil aviation are employed to calibrate and validate the model. In this study, different models are compared so as to propose the best one. From the results, systematic equations forecast better than single equation do. Models with the external variable, which is oil price, are better than models based on closed system assumption.