Jump detection in financial time series using machine learning algorithms

This study explores the application of Long Short-Term Memory (LSTM) neural networks for predicting short-term price movements of the TON-IRT trading pair in the cryptocurrency market. Given the high volatility and complexity of cryptocurrency prices, traditional models like Linear Regression and ARIMA often fail to capture the underlying non-linear and temporal dependencies. To address this, we implemented an LSTM model, a type of recurrent neural network specifically designed for sequential data. The model was trained on historical hourly data, utilizing various technical indicators and lagged features to improve prediction accuracy. Our results demonstrated that the LSTM model significantly outperformed traditional methods, achieving a Mean Absolute Error (MAE) of 0.0274, a Root Mean Squared Error (RMSE) of 0.0321, and an R-squared (R²) value of 0.8743, which indicated that the model captured over 87% of the variance in the actual price data. Visual analysis of predicted versus actual prices revealed a strong alignment, though some lag in predictions during high-volatility periods was observed. The model also showed a tendency to underestimate price peaks, highlighting areas for further refinement. This study contributes to the field of blockchain trading analytics by demonstrating the effectiveness of LSTM models in addressing the unique challenges of cryptocurrency price prediction. Practical implications for traders and investors include the ability to enhance trading strategies, optimize entry and exit points, and improve risk management. Future research could integrate additional external factors, such as market sentiment and news events, or explore advanced architectures like Transformer models. By doing so, the predictive capabilities of LSTM models in volatile markets like cryptocurrency could be further refined, leading to more robust and accurate forecasting tools for financial decision-making.

Context: Software development teams constantly opt for faster, lower quality solutions to solve current problems without planning for the future. This situation will have a negative long-term impact and is called technical debt. Similar to a financial debt, technical debts require interest payments and must be managed and detected so that the team can evaluate the best way to deal with them. One way to detect technical debts is through classification of source code comments. Developers often insert comments warning of the need to improve their own code in the future. This is known as Self-Admitted Technical Debt (SATD). Objective: Combine Word2vec for word embedding with a Long short-term memory (LSTM) neural network model to identify SATDs from comments in source code and compare with other studies and LSTM without word embedding. Method: We plan and execute an experimental process with model’s effectiveness data validation. Results: In general, the classification improves when all SATD types were grouped in a single label. In relation to other studies, the LSTM model with Word2vec achieved better recall and f-measure. The LSTM model without word embedding achieves greater recall, but perform worse in precision and f-measure. Conclusion: We found evidence that LSTM models combined with word embedding are promising for the development a more effective SATD classifier.

Prediction of Chinese-lantern submarine hose tension variation in extreme sea states based on data-driven methods

Forecasting the short-term metro ridership is an important issue for operation management of metro systems. However, it cannot be solved well by the single long short-term memory (LSTM) neural network alone for the irregular fluctuation caused by various factors. This paper proposes a hybrid algorithm (STL-LSTM) which combines the addition mode of Seasonal-Trend decomposition based on Loess (STL) and the LSTM neural network to mitigate the influences of irregular fluctuation and improve the performance of short-term metro ridership prediction. First, the original series is decomposed into three sub-series by the addition mode of STL. Then, the LSTM neural network is employed to predict each decomposed series. Finally, all the predicted outputs are merged as the overall output. The results show that the STL-LSTM model can achieve higher accuracy than the single LSTM model, support vector regression (SVR), and the EMD-LSTM model which combines the empirical mode decomposition and the LSTM neural network.

With the growth of the number of elderly and disabled with motor dysfunction, the demand for assisted exercise is increasing. Wearable power assistance robots are developed to provide athletic ability of limbs for the elderly or the disabled who have weakened limbs to better self-care ability. Existing wearable power-assisted robots generally use surface electromyography (sEMG) to obtain effective human motion intentions. Due to the characteristics of sEMG signals, it is limited in many applications. To solve the above problems, we design a long short-term memory (LSTM) neural network model based on human mechanomyography (MMG) signals to estimate the motion acceleration of knee joint. The acceleration can be further calculated by the torque required for movement control of the wearable power assistance robots for the lower limb. We detect MMG signals on the clothed thigh, extract features of the MMG signals, and then, use principal component analysis to reduce the features’ dimensions. Finally, the dimension-reduced features are inputted into the LSTM neural network model in time series for estimating the acceleration. The experimental results show that the average correlation coefficient ( R) is 94.48 ± 1.91% for the estimation of acceleration in the process of continuously performing under approximately π/4 rad/s. This approach can be applied in the practical applications of wearable field.

Prediction of the NOx emissions from thermal power plant using long-short term memory neural network

Controlling a solar receiver with multiple thermochemical reactors for hydrogen production by an LSTM neural network based cascade controller

Since it is one of the world's most significant financial markets, the foreign exchange (Forex) market has attracted a large number of investors. Accurately anticipating the forex trend has remained a popular but difficult issue to aid Forex traders' trading decisions. It is always a question of how precise a Forex prediction can be because of the market's tremendous complexity. The fast advancement of machine learning in recent decades has allowed artificial neural networks to be effectively adapted to several areas, including the Forex market. As a result, a slew of research articles aimed at improving the accuracy of currency forecasting has been released. The Long Short-Term Memory (LSTM) neural network, which is a special kind of artificial neural network developed exclusively for time series data analysis, is frequently used. Due to its high learning capacity, the LSTM neural network is increasingly being utilized to predict advanced Forex trading based on previous data. This model, on the other hand, can be improved by stacking it. The goal of this study is to choose a dataset using the Hurst exponent, then use a two-layer stacked Long Short-Term Memory (TLS-LSTM) neural network to forecast the trend and conduct a correlation analysis. The Hurst exponent (h) was used to determine the predictability of the Australian Dollar and United States Dollar (AUD/USD) dataset. TLS-LSTM algorithm is presented to improve the accuracy of Forex trend prediction of Australian Dollar and United States Dollar (AUD/USD). A correlation study was performed between the AUD/USD, the Euro and the Australian Dollar (EUR/AUD), and the Australian Dollar and the Japanese Yen (AUD/JPY) to see how AUD/USD movement affects EUR/AUD and AUD/JPY. The model was compared with Single-Layer Long Short-Term (SL-LSTM), Multilayer Perceptron (MLP), and Complete Ensemble Empirical Mode Decomposition with Adaptive Noise–Improved Firefly Algorithm Long Short-Term Memory. Based on the evaluation metrics Mean Square Error (MSE), Root Mean Square Error, and Mean Absolute Error, the suggested TLS-LSTM, whose data selection is based on the Hurst exponent (h) value of 0.6026, outperforms SL-LSTM, MLP, and CEEMDAN-IFALSTM. The correlation analysis conducted shows both positive and negative relations between AUD/USD, EUR/AUD, and AUD/JPY which means that a change in AUD/USD will affect EUR/AUD and AUD/JPY as recorded depending on the magnitude of the correlation coefficient (r).

An accurate electrical Short-term Load Forecasting (STLF) is an eminent factor in the power generation, electrical load dispatching and energy planning for the power supply companies, specifically in developing countries. This paper proposes a novel temporal feature selection-based Long Short-term Memory (LSTM) model developed by the combination of standard Artificial Neural Network (ANN) layer and LSTM for electrical short term load forecasting. The LSTM model has excellent capability of predicting the stochastic nature of an hour ahead electrical loads. The standard ANN layer consisting 11 neurons is used as an input to LSTM cells. Such a combination of ANN layer with LSTM was never proposed before. The proposed model accommodates variations in weather as well as temporal inputs like humidity, holidays, and date-time features in the hourly load data of the power supply company situated in Johor, Malaysia. This paper gives the insights of hyper parameter tuning to capture the more generalized electrical load patterns in the dataset without compromising the time complexity of the proposed model. The proposed approach was compared with five existing approaches, namely: ANN, LSTM model 1, LSTM model 2, LSTM model 3 and Convolutional Neural Network-LSTM (CNN-LSTM) using hourly load dataset of Johor. The experimental results demonstrate that the proposed approach outperformed the existing approaches in terms of root mean square error, mean absolute percentage error and Diebold-Mariano statistical inference test within 95% confidence interval.

Purpose Accurate prediction of stock prices is of particular importance due to the wide-ranging effects it has on financial decisions. Design/methodology/approach In this study, long short-term memory (LSTM) neural networks have been used to model and predict future stock prices. These networks are suitable for this application due to their ability to identify complex temporal patterns and retain long-term information. Historical stock price data is used as input to the model for 2023–2024, and a model for price prediction is developed using LSTM neural networks. Findings The results indicate that the LSTM model can predict stock price trends with acceptable accuracy, but still faces challenges such as market fluctuations and sudden changes. Originality/value This research can serve as a supportive tool for financial analysts and investors to improve financial decision-making.

Time series prediction based on LSTM neural network for top tension response of umbilical cables

(1) Background: This study is aimed at the development of a precise and inexpensive device for flow information measurement for external flow. This novel flowmeter uses an LSTM (long short-term memory) neural network algorithm to analyze the vibration responses of the gauge plate. (2) Methods: A signal processing method using an LSTM neural network is proposed for the development of mass flow rate estimation by sensing the vibration responses of a gauge plate. An FFT (fast Fourier transform) and an STFT (short-time Fourier transform) were used to analyze the vibration characteristics of the gauge plate depending on the mass flow rate. For precise measurements, the vibration level and roughness were computed and used as input features. The actual mass flow rate measured by using a weight transducer was employed as the output features for the LSTM prediction model. (3) Results: The estimated flow rate matched the actual measured mass flow rate very closely. The deviations in measurements for the total mass flow were less than 6%. (4) Conclusions: The estimation of the mass flow rate for external flow through the proposed flowmeter by use of vibration responses analyzed by the LSTM neural network was proposed and verified.

In response to the need for an exoskeleton to quickly identify the wearer’s movement mode in the mixed control mode, this paper studies the impact of different feature parameters of the surface electromyography (sEMG) signal on the accuracy of human motion pattern recognition using multilayer perceptrons and long short-term memory (LSTM) neural networks. The sEMG signals are extracted from the seven common human motion patterns in daily life, and the time domain and frequency domain features are extracted to build a feature parameter dataset for training the classifier. Recognition of human lower extremity movement patterns based on multilayer perceptrons and the LSTM neural network were carried out, and the final recognition accuracy rates of different feature parameters and different classifier model parameters were compared in the process of establishing the dataset. The experimental results show that the best accuracy rate of human motion pattern recognition using multilayer perceptrons is 95.53%, and the best accuracy rate of human motion pattern recognition using the LSTM neural network is 96.57%.

In active heave compensation, in order to realize the smooth control of the heave compensation platform, it is necessary to use the ship motion measurement system to accurately obtain the ship displacement signal, invert the ship displacement signal, and then control the expansion and contraction of the electric cylinder so that the compensation platform remains horizontal. The ship displacement measurement system generally adopts the second integral of the acceleration sensor to obtain the ship displacement signal. During the acquisition process of the ship displacement signal, the quadratic integration process of the acceleration, and the communication process of the output control command, there is a processing lag which makes the error accumulate, resulting in a delay in the measurement of the ship motion. In order to collect the ship motion more accurately and control the heave compensation platform more precisely, this paper proposes a ship motion prediction method based on a variable step-variable sampling frequency characteristic LSTM (Long Short-Term Memory) neural network. First, we use the autocorrelation function algorithm to calculate the inherent delay of the lag in the process of signal acquisition by the measurement system. Secondly, the LSTM neural network is used to predict the inherent delay step of the lagging ship displacement signal. During the prediction process, it is found that the difference in the sampling frequency of the displacement signal will lead to a change in the step of the inherent delay—experiment in the laboratory to verify. By controlling the motion platform to simulate the motion of the ship and using the ship motion measurement system and the laser sensor system to measure the displacement signal of the motion platform synchronously, it is verified that the ship motion measurement system does have an inherent delay. Thirdly, on a sailing ship, ship displacement signals are collected by setting multiple sets of ship motion measurement systems. Finally, multiple sets of sampling frequency and multiple steps are set, and the ship motion is predicted based on the variable step-variable sampling frequency LSTM neural network. It is verified that the prediction accuracy is related to the sampling frequency of the signal collector and the prediction step of the LSTM neural network, which improves the prediction accuracy of the model and the timeliness of ship motion acquisition.

Recent user recognition technologies have focused on biometric signals to remotely identify users in the access management, medical welfare, and public sectors. The electrocardiogram (ECG) signal is an individual’s unique electrophysiological signal generated within the body and is difficult to forge or change; thus, it can be used to uniquely identify the user. Existing user identification systems based on ECG signals detect R peaks according to morphological features and use a fiducial-based segmentation process for data normalization. However, this process does not detect a distinct R peak due to motion artifacts generated by the movement of the subject, thereby degrading identification accuracy. To address the problem of decreasing peak accuracy of the fiducial-based segmentation data, this study proposes a user identification system based on one-dimensional neural networks using periodic non-fiducial-based segmentation data that do not overlap in the time domain. The proposed system comprises a preprocessing step for data denoising, a non-fiducial-based and non-overlap segmentation step, and a step for classifying users using a one-dimensional shallow neural network. In the experiment, when using self-acquired 10-second ECG signal data that were divided into non-fiducial and non-overlapping segments, the long short-term memory (LSTM), bidirectional LSTM, and one-dimensional convolutional neural network (CNN) models achieved accuracies of 92.01%, 93.13%, and 95.51%, respectively, with the 1D CNN model exhibiting the best accuracy. The proposed system demonstrated a 25.48% improvement in accuracy on non-fiducial segmented data compared to the 1D CNN model, which achieved an accuracy of 70.03% on fiducial segmented data. Moreover, when tested on publicly available ECG datasets, including MIT-BIH, ECG-ID, and PTB-XL, the proposed system exhibited a user identification accuracy of over 94%, confirming its superior performance.