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on Forecasting |
| By: | Himanshu Gupta; Aditya Jaiswal |
| Abstract: | Predicting a fast and accurate model for stock price forecasting is been a challenging task and this is an active area of research where it is yet to be found which is the best way to forecast the stock price. Machine learning, deep learning and statistical analysis techniques are used here to get the accurate result so the investors can see the future trend and maximize the return of investment in stock trading. This paper will review many deep learning algorithms for stock price forecasting. We use a record of s&p 500 index data for training and testing. The survey motive is to check various deep learning and statistical model techniques for stock price forecasting that are Moving Averages, ARIMA which are statistical techniques and LSTM, RNN, CNN, and FULL CNN which are deep learning models. It will discuss various models, including the Auto regression integration moving average model, the Recurrent neural network model, the long short-term model which is the type of RNN used for long dependency for data, the convolutional neural network model, and the full convolutional neural network model, in terms of error calculation or percentage of accuracy that how much it is accurate which measures by the function like Root mean square error, mean absolute error, mean squared error. The model can be used to predict the stock price by checking the low MAE value as lower the MAE value the difference between the predicting and the actual value will be less and this model will predict the price more accurately than other models. |
| Date: | 2024–02 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2402.06689&r=for |
| By: | Ciaran O'Connor; Joseph Collins; Steven Prestwich; Andrea Visentin |
| Abstract: | Short-term electricity markets are becoming more relevant due to less-predictable renewable energy sources, attracting considerable attention from the industry. The balancing market is the closest to real-time and the most volatile among them. Its price forecasting literature is limited, inconsistent and outdated, with few deep learning attempts and no public dataset. This work applies to the Irish balancing market a variety of price prediction techniques proven successful in the widely studied day-ahead market. We compare statistical, machine learning, and deep learning models using a framework that investigates the impact of different training sizes. The framework defines hyperparameters and calibration settings; the dataset and models are made public to ensure reproducibility and to be used as benchmarks for future works. An extensive numerical study shows that well-performing models in the day-ahead market do not perform well in the balancing one, highlighting that these markets are fundamentally different constructs. The best model is LEAR, a statistical approach based on LASSO, which outperforms more complex and computationally demanding approaches. |
| Date: | 2024–02 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2402.06714&r=for |
| By: | Narayan Tondapu |
| Abstract: | In this study, we examine the fluctuation in the value of the Great Britain Pound (GBP). We focus particularly on its relationship with the United States Dollar (USD) and the Euro (EUR) currency pairs. Utilizing data from June 15, 2018, to June 15, 2023, we apply various mathematical models to assess their effectiveness in predicting the 20-day variation in the pairs' daily returns. Our analysis involves the implementation of Exponentially Weighted Moving Average (EWMA), Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models, and Implied Volatility (IV) models. To evaluate their performance, we compare the accuracy of their predictions using Root Mean Square Error (RMSE) and Mean Absolute Error (MAE) metrics. We delve into the intricacies of GARCH models, examining their statistical characteristics when applied to the provided dataset. Our findings suggest the existence of asymmetric returns in the EUR/GBP pair, while such evidence is inconclusive for the GBP/USD pair. Additionally, we observe that GARCH-type models better fit the data when assuming residuals follow a standard t-distribution rather than a standard normal distribution. Furthermore, we investigate the efficacy of different forecasting techniques within GARCH-type models. Comparing rolling window forecasts to expanding window forecasts, we find no definitive superiority in either approach across the tested scenarios. Our experiments reveal that for the GBP/USD pair, the most accurate volatility forecasts stem from the utilization of GARCH models employing a rolling window methodology. Conversely, for the EUR/GBP pair, optimal forecasts are derived from GARCH models and Ordinary Least Squares (OLS) models incorporating the annualized implied volatility of the exchange rate as an independent variable. |
| Date: | 2024–02 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2402.07435&r=for |
| By: | Soheila Khajoui; Saeid Dehyadegari; Sayyed Abdolmajid Jalaee |
| Abstract: | Artificial Neural Networks (ANN) which are a branch of artificial intelligence, have shown their high value in lots of applications and are used as a suitable forecasting method. Therefore, this study aims at forecasting imports in OECD member selected countries and Iran for 20 seasons from 2021 to 2025 by means of ANN. Data related to the imports of such countries collected over 50 years from 1970 to 2019 from valid resources including World Bank, WTO, IFM, the data turned into seasonal data to increase the number of collected data for better performance and high accuracy of the network by using Diz formula that there were totally 200 data related to imports. This study has used LSTM to analyse data in Pycharm. 75% of data considered as training data and 25% considered as test data and the results of the analysis were forecasted with 99% accuracy which revealed the validity and reliability of the output. Since the imports is consumption function and since the consumption is influenced during Covid-19 Pandemic, so it is time-consuming to correct and improve it to be influential on the imports, thus the imports in the years after Covid-19 Pandemic has had a fluctuating trend. |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2402.01648&r=for |
| By: | Juan Tenorio; Wilder Perez |
| Abstract: | In the dynamic landscape of continuous change, Machine Learning (ML) "nowcasting" models offer a distinct advantage for informed decision-making in both public and private sectors. This study introduces ML-based GDP growth projection models for monthly rates in Peru, integrating structured macroeconomic indicators with high-frequency unstructured sentiment variables. Analyzing data from January 2007 to May 2023, encompassing 91 leading economic indicators, the study evaluates six ML algorithms to identify optimal predictors. Findings highlight the superior predictive capability of ML models using unstructured data, particularly Gradient Boosting Machine, LASSO, and Elastic Net, exhibiting a 20% to 25% reduction in prediction errors compared to traditional AR and Dynamic Factor Models (DFM). This enhanced performance is attributed to better handling of data of ML models in high-uncertainty periods, such as economic crises. |
| Date: | 2024–02 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2402.04165&r=for |