Yukun Bao

Multiple-output support vector regression with a firefly algorithm for interval-valued stock price index forecasting

Highly accurate interval forecasting of a stock price index is fundamental to successfully making a profit when making investment decisions, by providing a range of values rather than a point estimate. In this study, we investigate the possibility of forecasting an interval-valued stock price index series over short and long horizons using multi-output support vector regression (MSVR). Furthermore, this study proposes a firefly algorithm (FA)-based approach, built on the established MSVR, for determining the parameters of MSVR (abbreviated as FA-MSVR). Three globally traded broad market indices are used to compare the performance of the proposed FA-MSVR method with selected counterparts. The quantitative and comprehensive assessments are performed on the basis of statistical criteria, economic criteria, and computational cost. In terms of statistical criteria, we compare the out-of-sample forecasting using goodness-of-forecast measures and testing approaches. In terms of economic criteria, we assess the relative forecast performance with a simple trading strategy. The results obtained in this study indicate that the proposed FA-MSVR method is a promising alternative for forecasting interval-valued financial time series.

Beyond one-step-ahead forecasting: Evaluation of alternative multi-step-ahead forecasting models for crude oil prices

An accurate prediction of crude oil prices over long future horizons is challenging and of great interest to governments, enterprises, and investors. This paper proposes a revised hybrid model built upon empirical mode decomposition (EMD) based on the feed-forward neural network (FNN) modeling framework incorporating the slope-based method (SBM), which is capable of capturing the complex dynamic of crude oil prices. Three commonly used multi-step-ahead prediction strategies proposed in the literature, including iterated strategy, direct strategy, and MIMO (multiple-input multiple-output) strategy, are examined and compared, and practical considerations for the selection of a prediction strategy for multi-step-ahead forecasting relating to crude oil prices are identified. The weekly data from the WTI (West Texas Intermediate) crude oil spot price are used to compare the performance of the alternative models under the EMD–SBM–FNN modeling framework with selected counterparts. The quantitative and comprehensive assessments are performed on the basis of prediction accuracy and computational cost. The results obtained in this study indicate that the proposed EMD–SBM–FNN model using the MIMO strategy is the best in terms of prediction accuracy with accredited computational load.

Multi-step-ahead time series prediction using multiple-output support vector regression

Accurate time series prediction over long future horizons is challenging and of great interest to both practitioners and academics. As a well-known intelligent algorithm, the standard formulation of Support Vector Regression (SVR) could be taken for multi-step-ahead time series prediction, only relying either on iterated strategy or direct strategy. This study proposes a novel multiple-step-ahead time series prediction approach which employs multiple-output support vector regression (M-SVR) with multiple-input multiple-output (MIMO) prediction strategy. In addition, the rank of three leading prediction strategies with SVR is comparatively examined, providing practical implications on the selection of the prediction strategy for multi-step-ahead forecasting while taking SVR as modeling technique. The proposed approach is validated with the simulated and real datasets. The quantitative and comprehensive assessments are performed on the basis of the prediction accuracy and computational cost. The results indicate that (1) the M-SVR using MIMO strategy achieves the best accurate forecasts with accredited computational load, (2) the standard SVR using direct strategy achieves the second best accurate forecasts, but with the most expensive computational cost, and (3) the standard SVR using iterated strategy is the worst in terms of prediction accuracy, but with the least computational cost.

Hybrid filter-wrapper feature selection for short-term load forecasting

Selection of input features plays an important role in developing models for short-term load forecasting (STLF). Previous studies along this line of research have focused pre-dominantly on filter and wrapper methods. Given the potential value of a hybrid selection scheme that includes both filter and wrapper methods in constructing an appropriate pool of features, coupled with the general lack of success in employing filter or wrapper methods individually, in this study we propose a hybrid filter-wrapper approach for STLF feature selection. This proposed approach, which is believed to have taken full advantage of the strengths of both filter and wrapper methods, first uses the Partial Mutual Information based filter method to filter out most of the irrelevant and redundant features, and subsequently applies a wrapper method, implemented via a firefly algorithm, to further reduce the redundant features without degrading the forecasting accuracy. The well-established support vector regression is selected as the modeler to implement the proposed hybrid feature selection scheme. Real-world electricity load datasets from a North-American electric utility and the Global Energy Forecasting Competition 2012 have been used to test the performance of the proposed approach, and the experimental results show its superiority over selected counterparts. A flowchart of the proposed hybrid feature selection method.Display Omitted We propose a filter-wrapper feature selection method for STLF.PMI is first used to filter irrelevant and redundant features.A wrapper method is then used to further reduce the remaining redundant features.The proposed hybrid method can identify less inputs with relatively shorter time.Better forecasting results are obtained based on the selected features.

Comprehensive learning particle swarm optimization based memetic algorithm for model selection in short-term load forecasting using support vector regression

Abstract Background Short-term load forecasting is an important issue that has been widely explored and examined with respect to the operation of power systems and commercial transactions in electricity markets. Of the existing forecasting models, support vector regression (SVR) has attracted much attention. While model selection, including feature selection and parameter optimization, plays an important role in short-term load forecasting using SVR, most previous studies have considered feature selection and parameter optimization as two separate tasks, which is detrimental to prediction performance. Objective By evolving feature selection and parameter optimization simultaneously, the main aims of this study are to make practitioners aware of the benefits of applying unified model selection in STLF using SVR and to provide one solution for model selection in the framework of memetic algorithm (MA). Methods This study proposes a comprehensive learning particle swarm optimization (CLPSO)-based memetic algorithm (CLPSO-MA) that evolves feature selection and parameter optimization simultaneously. In the proposed CLPSO-MA algorithm, CLPSO is applied to explore the solution space, while a problem-specific local search is proposed for conducting individual learning, thereby enhancing the exploitation of CLPSO. Results Compared with other well-established counterparts, benefits of the proposed unified model selection problem and the proposed CLPSO-MA for model selection are verified using two real-world electricity load datasets, which indicates the SVR equipped with CLPSO-MA can be a promising alternative for short-term load forecasting.

Forecasting interval time series using a fully complex-valued RBF neural network with DPSO and PSO algorithms

We propose a novel interval time series (ITS) forecasting approach.A fully complex-valued RBF neural network is extended to address ITS forecasting.DPSO/PSO are used to jointly optimize the structure and parameters of the model.Results on simulated and real-world ITS data confirm the efficacy of the approach. Interval time series prediction is one of the most challenging research topics in the field of time series modeling and prediction. In view of the remarkable function approximation capability of fully complex-valued radial basis function neural networks (FCRBFNNs), we set out to investigate the possibility of forecasting interval time series by denoting the lower and upper bounds of the interval as real and imaginary parts of a complex number, respectively. This results in a complex-valued interval. We then model the resulted complex-valued interval time series via a FCRBFNN. Furthermore, we propose to evolve the FCRBFNN by using particle swarm optimization (PSO) and discrete PSO for joint optimization of the structure and parameters. Finally, the proposed interval time series prediction approach is tested with simulated interval time series data as well as real interval stock price time series data from the New York Stock Exchange. Our experimental results indicate that it is a promising alternative for interval time series forecasting.

PSO-MISMO Modeling Strategy for MultiStep-Ahead Time Series Prediction

Multistep-ahead time series prediction is one of the most challenging research topics in the field of time series modeling and prediction, and is continually under research. Recently, the multiple-input several multiple-outputs (MISMO) modeling strategy has been proposed as a promising alternative for multistep-ahead time series prediction, exhibiting advantages compared with the two currently dominating strategies, the iterated and the direct strategies. Built on the established MISMO strategy, this paper proposes a particle swarm optimization (PSO)-based MISMO modeling strategy, which is capable of determining the number of sub-models in a self-adaptive mode, with varying prediction horizons. Rather than deriving crisp divides with equal-size s prediction horizons from the established MISMO, the proposed PSO-MISMO strategy, implemented with neural networks, employs a heuristic to create flexible divides with varying sizes of prediction horizons and to generate corresponding sub-models, providing considerable flexibility in model construction, which has been validated with simulated and real datasets.

Interval forecasting of electricity demand: A novel bivariate EMD-based support vector regression modeling framework

Abstract Highly accurate interval forecasting of electricity demand is fundamental to the success of reducing the risk when making power system planning and operational decisions by providing a range rather than point estimation. In this study, a novel modeling framework integrating bivariate empirical mode decomposition (BEMD) and support vector regression (SVR), extended from the well-established empirical mode decomposition (EMD) based time series modeling framework in the energy demand forecasting literature, is proposed for interval forecasting of electricity demand. The novelty of this study arises from the employment of BEMD, a new extension of classical empirical model decomposition (EMD) destined to handle bivariate time series treated as complex-valued time series, as decomposition method instead of classical EMD only capable of decomposing one-dimensional single-valued time series. This proposed modeling framework is endowed with BEMD to decompose simultaneously both the lower and upper bounds time series, constructed in forms of complex-valued time series, of electricity demand on a monthly per hour basis, resulting in capturing the potential interrelationship between lower and upper bounds. The proposed modeling framework is justified with monthly interval-valued electricity demand data per hour in Pennsylvania–New Jersey–Maryland Interconnection, indicating it as a promising method for interval-valued electricity demand forecasting.

Electricity Load Forecasting Using Support Vector Regression with Memetic Algorithms

Electricity load forecasting is an important issue that is widely explored and examined in power systems operation literature and commercial transactions in electricity markets literature as well. Among the existing forecasting models, support vector regression (SVR) has gained much attention. Considering the performance of SVR highly depends on its parameters; this study proposed a firefly algorithm (FA) based memetic algorithm (FA-MA) to appropriately determine the parameters of SVR forecasting model. In the proposed FA-MA algorithm, the FA algorithm is applied to explore the solution space, and the pattern search is used to conduct individual learning and thus enhance the exploitation of FA. Experimental results confirm that the proposed FA-MA based SVR model can not only yield more accurate forecasting results than the other four evolutionary algorithms based SVR models and three well-known forecasting models but also outperform the hybrid algorithms in the related existing literature.

Forecasting Air Passenger Traffic by Support Vector Machines with Ensemble Empirical Mode Decomposition and Slope-Based Method

With regard to the nonlinearity and irregularity along with implicit seasonality and trend in the context of air passenger traffic forecasting, this study proposes an ensemble empirical mode decomposition (EEMD) based support vector machines (SVMs) modeling framework incorporating a slope-based method to restrain the end effect issue occurring during the shifting process of EEMD, which is abbreviated as EEMD-Slope-SVMs. Real monthly air passenger traffic series including six selected airlines in USA and UK were collected to test the effectiveness of the proposed approach. Empirical results demonstrate that the proposed decomposition and ensemble modeling framework outperform the selected counterparts such as single SVMs (straightforward application of SVMs), Holt-Winters, and ARIMA in terms of RMSE, MAPE, GMRAE, and DS. Additional evidence is also shown to highlight the improved performance while compared with EEMD-SVM model not restraining the end effect.