A Long Memory Pattern Modelling and Recognition System for Financial Time-Series Forecasting

In this paper, the concept of a long memory system for forecasting is developed. Pattern modelling and recognition systems are introduced as local approximation tools for forecasting. Such systems are used for matching the current state of the time-series with past states to make a forecast. In the past, this system has been successfully used for forecasting the Santa Fe competition data. In this paper, we forecast the financial indices of six different countries, and compare the results with neural networks on five different error measures. The results show that pattern recognition-based approaches in time-series forecasting are highly accurate, and that these are able to match the performance of advanced methods such as neural networks. Received: 2 April 1998?Received in revised form: 1 February 1999?Accepted: 16 February 1999     

微博检索的研究进展

随着微博的快速发展,微博检索已经成为近年来研究领域的热点之一。该文首先以TREC Microblog数据为基础,从分析微博文档和微博查询两方面出发,得出微博检索与传统文本检索之间的两点不同: 一是微博文档相较于网页具有很多独有的特征;二是微博查询属于时间敏感查询,即在排序时除了考虑文本的语义相似度,还需要考虑时间因素,将这类方法统称为时间感知的检索技术。这两点差异使得已有的信息检索技术不能满足微博搜索的需求。该文主要介绍了近年来这两方面的相关研究: 首先描述了微博本身的多种特征以及基于这些特征提出的检索方法;然后以传统信息检索过程为主线,分别介绍了将时间信息用于文本表示、文档先验、查询扩展三方面的排序模型,最后总结了已有工作并且对未来研究内容进行了展望。     

HYBRID GREY RELATIONAL ARTIFICIAL NEURAL NETWORK AND AUTO REGRESSIVE INTEGRATED MOVING AVERAGE MODEL FOR FORECASTING TIME-SERIES DATA

The aim of this study is to develop a new hybrid model by combining a linear and nonlinear model for forecasting time-series data. The proposed model (GRANN_ARIMA) integrates nonlinear grey relational artificial neural network (GRANN) and a linear autoregressive integrated moving average (ARIMA) model by combining new features and grey relational analysis to select the appropriate inputs and hybridization succession. To validate the performance of the proposed model, small and large scale data sets are used. The forecasting performance is compared with several models, and these include: individual models (ARIMA, multiple regression, GRANN), several hybrid models (MARMA, MR_ANN, ARIMA_ANN), and an artificial neural network (ANN) trained using a Levenberg Marquardt algorithm. The experiments have shown that the proposed model has outperformed other models with 99.5% forecasting accuracy for small-scale data and 99.84% for large-scale data. The obtained empirical results have proven that the GRANN_ARIMA model can provide a better alternative for time-series forecasting due to its promising performance and capability in handling time-series data for both small- and large-scale data.     

An investigation of neural networks for linear time-series forecasting

This study examines the capability of neural networks for linear time-series forecasting. Using both simulated and real data, the effects of neural network factors such as the number of input nodes and the number of hidden nodes as well as the training sample size are investigated. Results show that neural networks are quite competent in modeling and forecasting linear time series in a variety of situations and simple neural network structures are often effective in modeling and forecasting linear time series.Scope and purposeNeural network capability for nonlinear modeling and forecasting has been established in the literature both theoretically and empirically. The purpose of this paper is to investigate the effectiveness of neural networks for linear time-series analysis and forecasting. Several research studies on neural network capability for linear problems in regression and classification have yielded mixed findings. This study aims to provide further evidence on the effectiveness of neural network with regard to linear time-series forecasting. The significance of the study is that it is often difficult in reality to determine whether the underlying data generating process is linear or nonlinear. If neural networks can compete with traditional forecasting models for linear data with noise, they can be used in even broader situations for forecasting researchers and practitioners.     

A neural network ensemble method with jittered training data for time series forecasting

Improving forecasting especially time series forecasting accuracy is an important yet often difficult task facing decision makers in many areas. Combining multiple models can be an effective way to improve forecasting performance. Recently, considerable research has been taken in neural network ensembles. Most of the work, however, is devoted to the classification type of problems. As time series problems are often more difficult to model due to issues such as autocorrelation and single realization at any particular time point, more research is needed in this area.In this paper, we propose a jittered ensemble method for time series forecasting and test its effectiveness with both simulated and real time series. The central idea of the jittered ensemble is adding noises to the input data and thus augments the original training data set to form models based on different but related training samples. Our results show that the proposed method is able to consistently outperform the single modeling approach with a variety of time series processes. We also find that relatively small ensemble sizes of 5 and 10 are quite effective in forecasting performance improvement.     

Non-parametric regression for space–time forecasting under missing data

As more and more real time spatio-temporal datasets become available at increasing spatial and temporal resolutions, the provision of high quality, predictive information about spatio-temporal processes becomes an increasingly feasible goal. However, many sensor networks that collect spatio-temporal information are prone to failure, resulting in missing data. To complicate matters, the missing data is often not missing at random, and is characterised by long periods where no data is observed. The performance of traditional univariate forecasting methods such as ARIMA models decreases with the length of the missing data period because they do not have access to local temporal information. However, if spatio-temporal autocorrelation is present in a space–time series then spatio-temporal approaches have the potential to offer better forecasts. In this paper, a non-parametric spatio-temporal kernel regression model is developed to forecast the future unit journey time values of road links in central London, UK, under the assumption of sensor malfunction. Only the current traffic patterns of the upstream and downstream neighbouring links are used to inform the forecasts. The model performance is compared with another form of non-parametric regression, K-nearest neighbours, which is also effective in forecasting under missing data. The methods show promising forecasting performance, particularly in periods of high congestion.     

基于混合网络模型的多维时间序列预测

为捕捉时间序列中潜在的特征依赖关系并实现高维时序数据的快速模糊预测,构建基于时间卷积网络（TCN）与自注意力机制的两种混合网络模型：TSANet和TSANet-MF。TSANet模型通过全局和局部两个并行卷积分量结构提取特征后,利用自注意力机制增强特征点关联程度,并结合并行的TCN增大卷积的感受野范围,最大程度地捕捉多维时序数据的周期性特征。TSANet-MF模型将TSANet作为矩阵分解算法的正则化项,使高维数据转化为具有更多时序特征的低维数据,减少计算复杂度,实现高维数据的快速模糊预测。在4种不同领域的时间序列数据集上的实验结果表明,TSANet模型在3种数据集上的预测性能均优于基准模型,尤其在高维Traffic数据集上相对平方根误差降低了19.52%~56.37%,TSANet-MF模型在Electricity和Traffic高维数据集上的训练时间相比于基准模型明显减少。上述实验结果验证了两种混合网络模型均具有较好的多维时间序列预测性能。     

Multi-scale detection and interpretation of spatio-temporal anomalies of human activities represented by time-series

Spatio-temporal patterns of human activities can be affected by events, such as extreme weather. Events cause anomalies that could be expressed by abnormal activity patterns deviating from the inherent ones. The detection of spatio-temporal anomalies thus helps to understand the implicit influencing mechanism with which the external factors affect human activities. Existing methods of spatio-temporal anomaly detection usually treat the temporal information as attributes of spatial units, which is an over-simplification as it ignores complex temporal patterns (e.g., periodic components of time-series). Moreover, as the spatio-temporal resolutions affect expressed characteristics of anomalies, the sensitivity of anomalies to scale is also worth investigating. This study intends to detect and interpret the spatio-temporal anomalies of human activities from a multi-scale perspective. Being different from the single-scale consideration and independent consideration of multiple scales, this research investigates how the anomalies' characteristics change at multiple scales by anomaly matching. The criteria of anomaly matching are the overlapping degree of spatio-temporal influence ranges of anomalies. It helps to specify the events that caused the expressed anomalies. Besides, we introduce the time-series decomposition methods to decompose complex temporal patterns, highlighting the abnormal changes in activity patterns. The study is validated using a multi-temporal-scale simulation experiment, and a multi-spatial-scale experiment based on taxi data in Beijing. Results show that the multi-scale method can detect various anomalies. Moreover, obtained multi-scale characteristics of anomalies are easy to compare with external data, and thus benefit anomaly interpretation (validated by two sample anomalies). This study highlights the significance of scales in anomaly detection of human activities and provides references for related works.     

Analysis of monotonic greening and browning trends from global NDVI time-series

Remotely sensed vegetation indices are widely used to detect greening and browning trends; especially the global coverage of time-series normalized difference vegetation index (NDVI) data which are available from 1981. Seasonality and serial auto-correlation in the data have previously been dealt with by integrating the data to annual values; as an alternative to reducing the temporal resolution, we apply harmonic analyses and non-parametric trend tests to the GIMMS NDVI dataset (1981-2006). Using the complete dataset, greening and browning trends were analyzed using a linear model corrected for seasonality by subtracting the seasonal component, and a seasonal non-parametric model. In a third approach, phenological shift and variation in length of growing season were accounted for by analyzing the time-series using vegetation development stages rather than calendar days. Results differed substantially between the models, even though the input data were the same. Prominent regional greening trends identified by several other studies were confirmed but the models were inconsistent in areas with weak trends. The linear model using data corrected for seasonality showed similar trend slopes to those described in previous work using linear models on yearly mean values. The non-parametric models demonstrated the significant influence of variations in phenology; accounting for these variations should yield more robust trend analyses and better understanding of vegetation trends.     

An integrated temporal data model incorporating time series concept

Most temporal data models have concentrated on describing temporal data based on versioning of objects, tuples or attributes. The concept of time series, which is often needed in temporal applications, does not fit well within these models. The goal of this paper is to propose a generalized temporal database model that integrates the modeling of both version-based and time-series based temporal data into a single conceptual framework. The concept of calendar is also integrated into our proposed model. We also discuss how a conceptual Extended-ER design in our model can be mapped to an object-oriented or relational database implementation.     

A multivariate heuristic model for fuzzy time-series forecasting.

Fuzzy time-series models have been widely applied due to their ability to handle nonlinear data directly and because no rigid assumptions for the data are needed. In addition, many such models have been shown to provide better forecasting results than their conventional counterparts. However, since most of these models require complicated matrix computations, this paper proposes the adoption of a multivariate heuristic function that can be integrated with univariate fuzzy time-series models into multivariate models. Such a multivariate heuristic function can easily be extended and integrated with various univariate models. Furthermore, the integrated model can handle multiple variables to improve forecasting results and, at the same time, avoid complicated computations due to the inclusion of multiple variables.     

Comparison of TSCS regression and neural network models for panel data forecasting: debt policy

Empirical studies of variations in debt ratios across firms have analyzed important determinants of capital structure using statistical models. Researchers, however, rarely employ nonlinear models to examine the determinants and make little effort to identify a superior prediction model among competing ones. This paper reviews the time-series cross-sectional (TSCS) regression and the predictive abilities of neural network (NN) utilizing panel data concerning debt ratio of high-tech industries in Taiwan. We built models with these two methods using the same set of measurements as determinants of debt ratio and compared the forecasting performance of five models, namely, three TSCS regression models and two NN models. Models built with neural network obtained the lowest mean square error and mean absolute error. These results reveal that the relationships between debt ratio and determinants are nonlinear and that NNs are more competent in modeling and forecasting the test panel data. We conclude that NN models can be used to solve panel data analysis and forecasting problems.     

基于Bayes网的时间序列预测

时间序列预测问题在气象、天文、电力、医学、生物、经济、金融和计算机等各个领域有着广泛的应用。本文将Bayes网模型用于该领域，提出并建立了一套基于Bayes的时间序列预测模型——静态]3ayes网预测模型，动态Bayes网预测模型和分类静态Bayes网预测模型。实验表明，这三个模型能更准确地描述用户在Web上的浏览特征，在预测准确率和存储复杂度方面都显著地优于传统的时间序列预测模型。     

Exploiting the interpretability and forecasting ability of the RBF-AR model for nonlinear time series

In this paper, we explore the radial basis function network-based state-dependent autoregressive (RBF-AR) model by modelling and forecasting an ecological time series: the famous Canadian lynx data. The interpretability of the state-dependent coefficients of the RBF-AR model is studied. It is found that the RBF-AR model can account for the phenomena of phase and density dependencies in the Canadian lynx cycle. The post-sample forecasting performance of one-step and two-step ahead predictors of the RBF-AR model is compared with that of other competitive time-series models including various parametric and non-parametric models. The results show the usefulness of the RBF-AR model in this ecological time-series modelling.     

Analysis of remote sensing time-series data to foster ecosystem sustainability: use of temporal information entropy

Remotely sensed time-series data have provided valuable information and sound foundations for ecological sustainability studies. Ecosystem sustainability has been viewed as a dynamic process that requires an ecosystem to deal with climate change and anthropogenic disturbances. Following this school of thought, ecosystem sustainability can be portrayed in terms of order and disorder using spatio-temporal analysis of entropy-related indices of Normalized Difference Vegetation Index (NDVI) time-series. Information theory and entropy-related measures have provided insights for complex systems analysis and have high relevance in ecology; however, less attention has been focused on temporal evolution and dynamics. The overall aim of this study is to propose an index called ‘temporal information entropy’ (H_t), and it is an entropy-related index able to describe the degree of order and regularity within a time-series of observations. We then assess H_t’s ability to measure the ecosystem sustainability of Yanhe watershed based on MODIS (Moderate Resolution Imaging Spectroradiometer) NDVI time-series. Our results indicate that temporal information entropy of ecological time-series data may be used as a natural indicator with respect to sustainability, and in some degree, it helps us to get a better understanding of ecosystem dynamics from a physical-based standpoint.     

ST-Trader:A Spatial-Temporal Deep Neural Network for Modeling Stock Market Movement

Stocks that are fundamentally connected with each other tend to move together.Considering such common trends is believed to benefit stock movement forecasting tasks.However,such signals are not trivial to model because the connections among stocks are not physically presented and need to be estimated from volatile data.Motivated by this observation,we propose a framework that incorporates the inter-connection of firms to forecast stock prices.To effectively utilize a large set of fundamental features,we further design a novel pipeline.First,we use variational autoencoder(VAE)to reduce the dimension of stock fundamental information and then cluster stocks into a graph structure(fundamentally clustering).Second,a hybrid model of graph convolutional network and long-short term memory network(GCN-LSTM)with an adjacency graph matrix(learnt from VAE)is proposed for graph-structured stock market forecasting.Experiments on minute-level U.S.stock market data demonstrate that our model effectively captures both spatial and temporal signals and achieves superior improvement over baseline methods.The proposed model is promising for other applications in which there is a possible but hidden spatial dependency to improve time-series prediction.     

Fusion ANFIS models based on multi-stock volatility causality for TAIEX forecasting

Stock market investors value accurate forecasting of future stock price from trading systems because of the potential for large profits. Thus, investors use different forecasting models, such as the time-series model, to assemble a superior investment portfolio. Unfortunately, there are three major drawbacks to the time-series model: (1) most statistical methods rely on some assumptions about the variables; (2) most conventional time-series models use only one variable in forecasting; and (3) the rules mined from artificial neural networks are not easily understandable. To address these shortcomings, this study proposes a new model based on multi-stock volatility causality, a fusion adaptive-network-based fuzzy inference system (ANFIS) procedure, for forecasting stock price problems in Taiwan. Furthermore, to illustrate the proposed model, three practical, collected stock index datasets from the USA and Taiwan stock markets are used in the empirical experiment. The experimental results indicate that the proposed model is superior to the listing methods in terms of root mean squared error, and further evaluation reveals that the profits comparison results for the proposed model produce higher profits than the listing models.     

基于商拓扑结构的序列构成和预测

对多变量时间序列进行分析有利于更好地了解各时间序列的特性。根据相关性的时间序列在商空间模型中,可依据信息相关性,该文综合利用多个相关序列提供的信息对其中一个序列进行了预测,通过商空间理论的分解和合成法减小信息不完备产生的影响,从而获得更多准确信息和规则。     

面向出租车出行规律的预测式可视分析方法

针对传统交通数据可视分析方法缺乏预测分析能力的问题,提出了基于出租车出行数据的预测式可视分析方法,支持用户更有效地探索未来的交通状况.在可视分析模型中,提出了结合天气、星期几等多种非交通因素的预测模型,提高了预测的准确度;提出了基于预测数据和广义地点类型约束的路径规划方法,获得了更优的路径规划结果;以多种可视化手段分析和预测了出租车司机的运营状况,帮助司机进行运营决策.以温州市出租车数据进行的实验结果表明,与传统方法相比,文中方法能更准确地预测交通状况和运营状况,并获得更合理的路径规划结果.     

A simulation study of artificial neural networks for nonlinear time-series forecasting

This study presents an experimental evaluation of neural networks for nonlinear time-series forecasting. The effects of three main factors — input nodes, hidden nodes and sample size, are examined through a simulated computer experiment. Results show that neural networks are valuable tools for modeling and forecasting nonlinear time series while traditional linear methods are not as competent for this task. The number of input nodes is much more important than the number of hidden nodes in neural network model building for forecasting. Moreover, large sample is helpful to ease the overfitting problem.Scope and purposeInterest in using artificial neural networks for forecasting has led to a tremendous surge in research activities in the past decade. Yet, mixed results are often reported in the literature and the effect of key modeling factors on performance has not been thoroughly examined. The lack of systematic approaches to neural network model building is probably the primary cause of inconsistencies in reported findings. In this paper, we present a systematic investigation of the application of neural networks for nonlinear time-series analysis and forecasting. The purpose is to have a detailed examination of the effects of certain important neural network modeling factors on nonlinear time-series modeling and forecasting.