Machine Trading by Time Series Models and Portfolio Optimization

Nowadays , nonlinear time series and artificial neural networks (ANN) models are used for forecasting in the field of business, agriculture and soon. Recent studies have shown, ANN have been successfully used for forecasting of financial and agriculture data series The classical methods used for time series prediction like Box-Jenkins or ARIMA assumes that there is a linear relationship between inputs and outputs. ANN have more advantages that can approximate to model both linear and nonlinear structures in time series, they are not able to handling both structures equally well. The autoregressive integrated moving average (ARIMA) model and two ANN models namely, Radial basis function neural networks (RBFNN), and Elman recurrent neural networks (ERNN) methods were applied to Hyderabad airport traffic data. The data obtained for 15 years from 2002–2003 to 2016–2017 about domestic and international passenger of International Airport of Hyderabad, India. In this research paper, we compared the performances of ARIMA, RBFNN and ERNN were based on three measures: mean absolute error (MAE), mean absolute percentage error (MAPE), and root mean square error (RMSE). The results showed that RBFNN obtained the smallest MAE, MAPE and RMSE in both the modeling and forecasting processes. The performances of the three models ranked in ascending order were: ARIMA, ERNN and the RBFNN model. Keywords: T ime series, forecasting, artificial neural networks, ARIMA models, radial basis function neural networks, and Elman recurrent neural networks Cite this Article R. Ramakrishna, Berhe Aregay, Tewodros Gebregergs. The Comparison in Time Series Forecasting of Air Traffic Data by Autoregressive Integrated Moving Average Model, Radial Basis Function and Elman Recurrent Neural Networks. Research & Reviews: Journal of Statistics . 2018; 7(3): 75–90p.

Evaluation of hybrid forecasting approaches for wind speed and power generation time series

This article presents a comprehensive study of sales predictions using time series analysis, focusing on a case study of Walmart sales data. The aim of this study is to evaluate the effectiveness of various time series forecasting techniques in predicting weekly sales data for Walmart stores. Leveraging a dataset from Kaggle comprising weekly sales data from various Walmart stores around the United States, this study explores the effectiveness of time series analysis in forecasting future sales trends. Various time series analysis techniques, including Auto Regressive Integrated Moving Average (ARIMA), Seasonal Auto Regressive Integrated Moving Average (SARIMA), Prophet, Exponential Smoothing, and Gaussian Processes, are applied to model and forecast Walmart sales data. By comparing the performance of these models, the study seeks to identify the most accurate and reliable methods for forecasting retail sales, thereby providing valuable insights for improving sales predictions in the retail sector. The study includes an extensive exploratory data analysis (EDA) phase to preprocess the data, detect outliers, and visualize sales trends over time. Additionally, the article discusses the partitioning of data into training and testing sets for model evaluation. Performance metrics such as Root Mean Squared Error (RMSE) and Mean Absolute Error (MAE) are utilized to compare the accuracy of different time series models. The results indicate that Gaussian Processes outperform other models in terms of accuracy, with an RMSE of 34,116.09 and an MAE of 25,495.72, significantly lower than the other models evaluated. For comparison, ARIMA and SARIMA models both yielded an RMSE of 555,502.2 and an MAE of 462,767.3, while the Prophet model showed an RMSE of 567,509.2 and an MAE of 474,990.8. Exponential Smoothing also performed well with an RMSE of 555,081.7 and an MAE of 464,110.5. These findings suggest the potential of Gaussian Processes for accurate sales forecasting. However, the study also highlights the strengths and weaknesses of each forecasting methodology, emphasizing the need for further research to refine existing techniques and explore novel modeling approaches. Overall, this study contributes to the understanding of time series analysis in retail sales forecasting and provides insights for improving future forecasting endeavors.

Monkeypox virus is gaining attention due to its severity and spread among people. This study sheds light on the modeling and forecasting of new monkeypox cases. Knowledge about the future situation of the virus using a more accurate time series and stochastic models is required for future actions and plans to cope with the challenge. We conduct a side-by-side comparison of the machine learning approach with the traditional time series model. The multilayer perceptron model (MLP), a machine learning technique, and the Box-Jenkins methodology, also known as the ARIMA model, are used for classical modeling. Both methods are applied to the Monkeypox cumulative data set and compared using different model selection criteria such as root mean square error, mean square error, mean absolute error, and mean absolute percentage error. With a root mean square error of 150.78, the monkeypox series follows the ARIMA (7,1,7) model among the other potential models. Comparatively, we use the multilayer perceptron (MLP) model, which employs the sigmoid activation function and has a different number of hidden neurons in a single hidden layer. The root mean square error of the MLP model, which uses a single input and ten hidden neurons, is 54.40, significantly lower than that of the ARIMA model. The actual confirmed cases versus estimated or fitted plots also demonstrate that the multilayer perceptron model has a better fit for the monkeypox data than the ARIMA model. When it comes to predicting monkeypox, the machine learning method outperforms the traditional time series. A better match can be achieved in future studies by applying the extreme learning machine model (ELM), support vector machine (SVM), and some other methods with various activation functions. It is thus concluded that the selected data provide a real picture of the virus. If the situations remain the same, governments and other stockholders should ensure the follow-up of Standard Operating Procedures (SOPs) among the masses, as the trends will continue rising in the upcoming 10 days. However, governments should take some serious interventions to cope with the virus. In the ARIMA models selected for forecasting, we did not incorporate the effect of covariates such as the effect of net migration of monkeypox virus patients, government interventions, etc.

LoRaWAN technology’s reliability is challenged by weather parameters, which can influence the communication channel design, especially when dealing with outdoor devices. We propose to analyze this effect by evaluating the relationship between the received signal strength indicator (RSSI) and different weather parameters, as well as its temporal changes. A rigorous statistical analysis of the RSSI sequences is conducted to assess if they could be represented by a specific statistical model. For this purpose, several models are investigated. The Artificial Intelligence (AI) algorithms cover machine learning (ML) and deep learning methods are appealing when dealing with time series forecasting. Nevertheless, the classical autoregressive integrated moving average (ARIMA) model can be an attractive alternative due to its simplicity. Therefore, this work proposes a comparative study of ARIMA, AI, and hybrid approaches to forecast the RSSI using weather parameters as regressors. The considered AI algorithms are the artificial neural network (ANN), support vector machine (SVM), random forest (RF), and Long Short-Term Memory (LSTM). Also, hybrid models are constructed, coupling the ARIMA with them. The models are evaluated in time series of RSSI, measured by eight different LoRaWAN transmitter nodes and considering the temperature, pressure, relative humidity, and rain as weather parameters. Our analysis reveals that temperature is the dominant factor among weather parameters, and negatively affects RSSI. The ARIMA model that uses only the temperature as a regressor provides consistently better fits than the ARIMA without regressors. Moreover, coupling the ARIMA with the temperature as a regressor and the ANN (ARIMA-ANN) is the best option among the pure AI and hybrid approaches. However, it provided accuracy measures very close to those obtained from the ARIMA model fitted in the first stage, with similar performance. Therefore, the ARIMA model considering the temperature is the most competitive alternative when analyzing RSSI measurements, with the advantage of being the most straightforward method. These results suggest that the RSSI from the analyzed LoRaWAN receiver nodes may not present nonlinear patterns and, considering several weather parameters, they are affected mainly by the outdoor temperature.

The Auto Regressive Integrated Moving Average (ARIMA) model seems not to easily capture the nonlinear patterns exhibited by the 2019 novel coronavirus (COVID-19) in terms of daily confirmed cases. As a result, Artificial Neural Network (ANN) and Error, Trend, and Seasonality (ETS) modeling have been successfully applied to resolve problems with nonlinear estimation. Our research suggests that it would be ideal to use a single model of ETS or ARIMA for COVID-19 time series forecasting rather than a complicated Hybrid model that combines several models. We compare the forecasting performance of these models using real, worldwide, daily COVID-19 data for the period between January 22, 2020 till June 19, and June 20 till January 2, 2021 which marks two stages, each stage indicating the first and the second wave respectively. We discuss various forecasting approaches and the criteria for choosing the best forecasting technique. The best forecasting model selected was compared using the forecasting assessment criterion known as Mean Absolute Error (MAE). The empirical results show that the ETS and ARIMA models outperform the ANN and Hybrid models. The main finding from the ETS and ARIMA models analysis indicate that the magnitude of the increase in total confirmed cases over time is declining and the percentage change in the death rate is also on the decline. Our results shows that the chosen forecaste models are consistent during the first and second wave of of the pandemic. These forecasts are encouraging as the world struggles to contain the spread of COVID-19. This may be the result of the social distancing measures mandated by governments worldwide.

Seasonality is a distinctive characteristic which is often observed in many practical time series. Artificial Neural Networks (ANNs) are a class of promising models for efficiently recognizing and forecasting seasonal patterns. In this paper, the Particle Swarm Optimization (PSO) approach is used to enhance the forecasting strengths of feedforward ANN (FANN) as well as Elman ANN (EANN) models for seasonal data. Three widely popular versions of the basic PSO algorithm, viz. Trelea-I, Trelea-II and Clerc-Type1 are considered here. The empirical analysis is conducted on three real-world seasonal time series. Results clearly show that each version of the PSO algorithm achieves notably better forecasting accuracies than the standard Backpropagation (BP) training method for both FANN and EANN models. The neural network forecasting results are also compared with those from the three traditional statistical models, viz. Seasonal Autoregressive Integrated Moving Average (SARIMA), Holt-Winters (HW) and Support Vector Machine (SVM). The comparison demonstrates that both PSO and BP based neural networks outperform SARIMA, HW and SVM models for all three time series datasets. The forecasting performances of ANNs are further improved through combining the outputs from the three PSO based models.

Governments across the world rely on their Customs Administration to provide functions that include border security, intellectual property rights protection, environmental protection, and revenue mobilisation amongst others. Analyzing the trends in revenue being collected from Customs is necessary to direct government policies and decisions. Models that can capture the trends being purported from the nominal (nonreal) tax values with respect to the trade volumes (value) over the period are indispensable. Predominant amongst the existing models are the econometric models (the GDP-based model, the monthly receipts model, and the microsimulation model), which are laborious and sometimes unreliable when studying trends in time series data. In this study, we modelled monthly revenue data obtained from the Ghana Revenue Authority-Customs Division (GRA-CD) for the period January 2010 to December 2019 using two traditional time series models, ARIMA model and ARIMA Error Regression Model (ARIMAX), and two machine learning time series models, Bayesian Structural Time Series (BSTS) model and a Neural Network Autoregression model. The Neural Network Autoregression model of the form NNAR (1, 3) provided the best forecasts with the least Mean Squared Error (MSE) of 53.87 and relatively lower Mean Absolute Percentage Error (MAPE) of 0.08. Generally, the machine learning models (NNAR (1, 3) and BSTS) outperformed the traditional time series models (ARIMA and ARIMAX models). The forecast values from the NNAR (1, 3) indicated a potential decline in revenue and this emphasizes the need for relevant authorities to institute measures to improve revenue generation in the immediate future.

Indonesia targets Aceh to be one of the paddy production centers and be able to carry out self-sufficient production in paddy and become a national granary. However, in reality, Aceh's paddy production in its province is not consistent from year to year. This province has not been able to meet the food needs of paddy independently, so that it supplies paddy from other regions due to the difficulty of detecting the presence of a surplus of paddy. The purpose of this research is to estimate the results of paddy production in Aceh for the future. The mathematical model that can be used is a time series model namely Autoregressive Integrated Moving Average (ARIMA) and Exponential Smoothing. The results of the estimation of paddy production in the next 5 years using the ARIMA (1,1,3) model are 2000616; 2017549; 1903585; 1944499; and 1929810. While the estimation results using the Winter Exponential Smoothing model are 1625925; 1645196; 1687667; 1605530; and 1555213. ARIMA model (1,1,3) produces an MSE/MAD value of , while the Winter Exponential Smoothing model produces an MSE/MAD value of . Therefore, it can be concluded that the Winter Exponential Smoothing model.

The forecasting of evapotranspiration (ET) in some water-stressed regions remains a major challenge due to the lack of reliable and sufficient historical datasets. For efficient water balance, ET remains the major component and its proper forecasting and quantifying is of the utmost importance. This study utilises the 18-year (2001 to 2018) MODIS ET obtained from a drought-affected irrigation scheme in the Eastern Cape Province of South Africa. This study conducts a teleconnection evaluation between the satellite-derived evapotranspiration (ET) time series and other related remotely sensed parameters such as the Normalised Difference Vegetation Index (NDVI), Normalised Difference Water Index (NDWI), Normalised Difference Drought Index (NDDI), and precipitation (P). This comparative analysis was performed by adopting the Mann–Kendall (MK) test, Sequential Mann–Kendall (SQ-MK) test, and Multiple Linear Regression methods. Additionally, the ET detailed time-series analysis with the Keiskamma River streamflow (SF) and monthly volumes of the Sandile Dam, which are water supply sources close to the study area, was performed using the Wavelet Analysis, Breaks for Additive Seasonal and Trend (BFAST), Theil–Sen statistic, and Correlation statistics. The MODIS-obtained ET was then forecasted using the Autoregressive Integrated Moving Average (ARIMA) and Artificial Neural Networks (ANNs) for a period of 5 years and four modelling performance evaluations such as the Root Mean Square Error (RMSE), Mean Absolute Percentage Error (MAPE), Mean Absolute Error (MAE), and the Pearson Correlation Coefficient (R) were used to evaluate the model performances. The results of this study proved that ET could be forecasted using these two time-series modeling tools; however, the ARIMA modelling technique achieved lesser values according to the four statistical modelling techniques employed with the RMSE for the ARIMA = 37.58, over the ANN = 44.18; the MAE for the ARIMA = 32.37, over the ANN = 35.88; the MAPE for the ARIMA = 17.26, over the ANN = 24.26; and for the R ARIMA = 0.94 with the ANN = 0.86. These results are interesting as they give hope to water managers at the irrigation scheme and equally serve as a tool to effectively manage the irrigation scheme.

An optimized model using LSTM network for demand forecasting

The arising air pollution has addressed much attention globally due to its detrimental effects on human health and environment. As an early warning system for air quality control and management, it is important to provide precise information about the future concentrations in pollutants. We present here a time series model in predicting the Air Pollution Index (API) from three different stations; industrial, residential, and sub-urban areas between 2000 and 2009. In this paper, the Box–Jenkins approach of seasonal autoregressive integrated moving average (ARIMA), artificial neural network (ANN), and three models of fuzzy time series (FTS) have been compared by using the mean absolute percentage error, mean absolute error, mean square error, and root mean square error. Although all the methods were used as operational tools, the ANN seemed more accurate in forecasting API. The results showed that FTS (i.e. Chen’s, Yu’s, and Cheng’s) performed inconsistent results since the conventional methods of ARIMA outperformed the performance of FTS. However, consistent results were achieved as the ANNs gave the smallest forecasting error compared to FTS and ARIMA.

The main purpose of modeling time series data is for forecasting. Time series modeling can be categorized into the univariate and multivariate approach. In univariate time series modeling, there are several methods of forecasting; one of them is ARIMA. Time series modeling can also consider the exogenous variables to improve the accuracy of forecasting or to obtain a more meaningful model. Recently, machine learning methods are widely employed in various field, including time series forecasting, particularly for solving nonlinear relationship among the variables. One of the most popular machine learning methods is Support Vector Machine (SVM). SVM can solve classification and regression problem. The SVM method used in time series is called Support Vector Regression (SVR). In SVR method, one of the most important things to improve the accuracy of forecasting is input selection. One of the approaches to select input in SVR is by choosing the significant lag obtained from the classical time series analysis and expand the ARIMA model to get multiplicative lag. In addition, the data on daily sales contains seasonal and calendar variation. The models are evaluated using Root Mean Square Error (RMSE) and Mean Absolute Percentage Error (MAPE). The best method is the SVR method using multiplicative lag from the best ARIMA model without dummy variable.

Share markets are considered as an important part of a country's economy and efficiently functioning stock markets give companies the ability to quickly access capital from the public. This paper aims at identifying the best potential method to predict the adjusted close prices of stocks, through a comparative analysis among Supervised Learning and Time Series models. Techniques like Sliding Window, Forward Fill and Linear Interpolation have been used to preprocess the data. Predictions using Linear Regression, Random Forests, Support Vector Machines, Auto Regressive Integrated Moving Average and Auto Regressive Integrated Moving Average with Exogenous variables, were performed and evaluated based on their prediction accuracies. After the individual evaluation of all the methods, Support Vector Machines are found to give better results for stock price prediction.

Predictive analytics has become a crucial tool in modern business decision-making, particularly in demand forecasting. By leveraging historical data and statistical modeling techniques, businesses can enhance resource allocation, optimize inventory management, and improve overall operational efficiency. Among various predictive analytics methods, time series models are widely employed due to their ability to capture trends, seasonality, and patterns in demand fluctuations. This explores the application of time series models, including Moving Average (MA), Autoregressive (AR), Autoregressive Integrated Moving Average (ARIMA), Seasonal ARIMA (SARIMA), Exponential Smoothing (Holt-Winters method), and advanced deep learning models such as Long Short-Term Memory (LSTM) networks. These models enable businesses to make data-driven decisions by accurately predicting future demand, thereby reducing costs and improving supply chain responsiveness. Furthermore, the integration of predictive analytics in business resource allocation extends beyond inventory management. It influences workforce planning, financial forecasting, and supply chain optimization, ensuring that organizations align their operations with anticipated market trends. However, despite the benefits, challenges such as data quality issues, model interpretability, external disruptions, and scalability concerns remain key obstacles in implementing time series forecasting. Emerging advancements in artificial intelligence (AI), big data analytics, and cloud-based forecasting solutions are shaping the future of predictive analytics. The integration of real-time data and machine learning models offers new opportunities for businesses to enhance forecasting accuracy and agility. As demand forecasting continues to evolve, organizations must adopt a strategic approach to model selection and implementation to fully capitalize on the advantages of predictive analytics. This study provides a comprehensive overview of predictive analytics for demand forecasting, highlighting the role of time series models in optimizing business resource allocation and discussing future trends that will drive further innovation in this field.