Graph Neural Networks for Improved El Niño Forecasting
Technical University of Darmstadt（达姆施塔特工业大学）；University of Illinois at Urbana-Champaign（伊利诺伊大学厄巴纳-香槟分校）；University of São Paulo（圣保罗大学）；TU Munich（慕尼黑工业大学）；Warsaw University of Technology（华沙理工大学）；Duquesne University（杜肯大学）；African Institute for Mathematical Sciences（非洲数学科学研究所）；Massachusetts Institute of Technology（麻省理工学院）
Salva Rühling Cachay, Emma Erickson, Arthur Fender C. Bucker, Ernest Pokropek, Willa Potosnak, Salomey Osei, Björn Lütjens
备注：
Presented at the NeurIPS 2020 Workshop on Tackling Climate Change with Machine Learning
Deep learning-based models have recently outperformed state-of-the-art seasonal forecasting models, such as for predicting El Niño-Southern Oscillation (ENSO). However, current deep learning models are based on convolutional neural networks which are difficult to interpret and can fail to model large-scale atmospheric patterns called teleconnections. Hence, we propose the application of spatiotemporal Graph Neural Networks (GNN) to forecast ENSO at long lead times, finer granularity and improved predictive skill than current state-of-the-art methods. The explicit modeling of information flow via edges may also allow for more interpretable forecasts. Preliminary results are promising and outperform state-of-the art systems for projections 1 and 3 months ahead.
Time series forecasting is difficult. It is difficult even for recurrent neural networks with their inherent ability to learn sequentiality. This article presents a recurrent neural network based time series forecasting framework covering feature engineering, feature importances, point and interval predictions, and forecast evaluation. The description of the method is followed by an empirical study using both LSTM and GRU networks.
This article presents a new method for forecasting Value at Risk. Convolutional neural networks can do time series forecasting, since they can learn local patterns in time. A simple modification enables them to forecast not the mean, but arbitrary quantiles of the distribution, and thus allows them to be applied to VaR-forecasting. The proposed model can learn from the price history of different assets, and it seems to produce fairly accurate forecasts.
Time series forecasting has gained lots of attention recently; this is because many real-world phenomena can be modeled as time series. The massive volume of data and recent advancements in the processing power of the computers enable researchers to develop more sophisticated machine learning algorithms such as neural networks to forecast the time series data. In this paper, we propose various neural network architectures to forecast the time series data using the dynamic measurements; moreover, we introduce various architectures on how to combine static and dynamic measurements for forecastin…
Predicting flood for any location at times of extreme storms is a longstanding problem that has utmost importance in emergency management. Conventional methods that aim to predict water levels in streams use advanced hydrological models still lack of giving accurate forecasts everywhere. This study aims to explore artificial deep neural networks' performance on flood prediction. While providing models that can be used in forecasting stream stage, this paper presents a dataset that focuses on the connectivity of data points on river networks. It also shows that neural networks can be very helpf…
We introduce NeuralProphet, a successor to Facebook Prophet, which set an industry standard for explainable, scalable, and user-friendly forecasting frameworks. With the proliferation of time series data, explainable forecasting remains a challenging task for business and operational decision making. Hybrid solutions are needed to bridge the gap between interpretable classical methods and scalable deep learning models. We view Prophet as a precursor to such a solution. However, Prophet lacks local context, which is essential for forecasting the near-term future and is challenging to extend due…
Cyber-physical systems often consist of entities that interact with each other over time. Meanwhile, as part of the continued digitization of industrial processes, various sensor technologies are deployed that enable us to record time-varying attributes (a.k.a., time series) of such entities, thus producing correlated time series. To enable accurate forecasting on such correlated time series, this paper proposes two models that combine convolutional neural networks (CNNs) and recurrent neural networks (RNNs). The first model employs a CNN on each individual time series, combines the convoluted…
University of Southern California（南加州大学）；California Institute of Technology（加州理工学院）
Spatiotemporal forecasting has various applications in neuroscience, climate and transportation domain. Traffic forecasting is one canonical example of such learning task. The task is challenging due to (1) complex spatial dependency on road networks, (2) non-linear temporal dynamics with changing road conditions and (3) inherent difficulty of long-term forecasting. To address these challenges, we propose to model the traffic flow as a diffusion process on a directed graph and introduce Diffusion Convolutional Recurrent Neural Network (DCRNN), a deep learning framework for traffic forecasting …
This paper introduces CloudLSTM, a new branch of recurrent neural models tailored to forecasting over data streams generated by geospatial point-cloud sources. We design a Dynamic Point-cloud Convolution (DConv) operator as the core component of CloudLSTMs, which performs convolution directly over point-clouds and extracts local spatial features from sets of neighboring points that surround different elements of the input. This operator maintains the permutation invariance of sequence-to-sequence learning frameworks, while representing neighboring correlations at each time step -- an important…
Hainan University（海南大学）；University of Chinese Academy of Science（中国科学院大学）
Traffic flow forecasting is hot spot research of intelligent traffic system construction. The existing traffic flow prediction methods have problems such as poor stability, high data requirements, or poor adaptability. In this paper, we define the traffic data time singularity ratio in the dropout module and propose a combination prediction method based on the improved long short-term memory neural network and time series autoregressive integrated moving average model (SDLSTM-ARIMA), which is derived from the Recurrent Neural Networks (RNN) model. It compares the traffic data time singularity …
We present a data-driven approach for forecasting global weather using graph neural networks. The system learns to step forward the current 3D atmospheric state by six hours, and multiple steps are chained together to produce skillful forecasts going out several days into the future. The underlying model is trained on reanalysis data from ERA5 or forecast data from GFS. Test performance on metrics such as Z500 (geopotential height) and T850 (temperature) improves upon previous data-driven approaches and is comparable to operational, full-resolution, physical models from GFS and ECMWF, at least…
Huazhong University of Science and Technology（华中科技大学）
Despite the superiority of convolutional neural networks demonstrated in time series modeling and forecasting, it has not been fully explored on the design of the neural network architecture and the tuning of the hyper-parameters. Inspired by the incremental construction strategy for building a random multilayer perceptron, we propose a novel Error-feedback Stochastic Modeling (ESM) strategy to construct a random Convolutional Neural Network (ESM-CNN) for time series forecasting task, which builds the network architecture adaptively. The ESM strategy suggests that random filters and neurons of…
Oregon State University（俄勒冈州立大学）；University of Texas at Arlington（德克萨斯大学阿灵顿分校）
Crude oil is a major component in most advanced economies of the world. Accurately predicting and understanding the behavior of crude oil prices is important for economists, analysts, forecasters, and traders, to name a few. The price of crude oil has declined in the past decade and is seeing a phase of stability; but will this stability last? This work is an empirical study on how multivariate analysis may be employed to predict crude oil spot prices using neural networks. The concept of using neural networks showed promising potential. A very simple neural network model was able to perform o…
Recent studies have shown that deep learning models such as RNNs and Transformers have brought significant performance gains for long-term forecasting of time series because they effectively utilize historical information. We found, however, that there is still great room for improvement in how to preserve historical information in neural networks while avoiding overfitting to noise presented in the history. Addressing this allows better utilization of the capabilities of deep learning models. To this end, we design a \textbf{F}requency \textbf{i}mproved \textbf{L}egendre \textbf{M}emory model…
Time series modeling has entered an era of unprecedented growth in the size and complexity of data which require new modeling approaches. While many new general purpose machine learning approaches have emerged, they remain poorly understand and irreconcilable with more traditional statistical modeling approaches. We present a general class of exponential smoothed recurrent neural networks (RNNs) which are well suited to modeling non-stationary dynamical systems arising in industrial applications. In particular, we analyze their capacity to characterize the non-linear partial autocorrelation st…
Recurrent and convolutional neural networks are the most common architectures used for time series forecasting in deep learning literature. These networks use parameter sharing by repeating a set of fixed architectures with fixed parameters over time or space. The result is that the overall architecture is time-invariant (shift-invariant in the spatial domain) or stationary. We argue that time-invariance can reduce the capacity to perform multi-step-ahead forecasting, where modelling the dynamics at a range of scales and resolutions is required. We propose ForecastNet which uses a deep feed-fo…
Weather forecasting is an essential task to tackle global climate change. Weather forecasting requires the analysis of multivariate data generated by heterogeneous meteorological sensors. These sensors comprise of ground-based sensors, radiosonde, and sensors mounted on satellites, etc., To analyze the data generated by these sensors we use Graph Neural Networks (GNNs) based weather forecasting model. GNNs are graph learning-based models which show strong empirical performance in many machine learning approaches. In this research, we investigate the performance of weather forecasting using GNN…
Birla Institute of Technology and Science Pilani（比拉理工学院与科学大学皮拉尼分校）
The problem of automatic and accurate forecasting of time-series data has always been an interesting challenge for the machine learning and forecasting community. A majority of the real-world time-series problems have non-stationary characteristics that make the understanding of trend and seasonality difficult. Our interest in this paper is to study the applicability of the popular deep neural networks (DNN) as function approximators for non-stationary TSF. We evaluate the following DNN models: Multi-layer Perceptron (MLP), Convolutional Neural Network (CNN), and RNN with Long-Short Term Memor…
Bigo Inc.（Bigo公司）；Beihang University（北京航空航天大学）；IBM China CIC（IBM中国创新中心）；The Chinese University of Hong Kong, Shenzhen（香港中文大学（深圳））
We present a probabilistic forecasting framework based on convolutional neural network for multiple related time series forecasting. The framework can be applied to estimate probability density under both parametric and non-parametric settings. More specifically, stacked residual blocks based on dilated causal convolutional nets are constructed to capture the temporal dependencies of the series. Combined with representation learning, our approach is able to learn complex patterns such as seasonality, holiday effects within and across series, and to leverage those patterns for more accurate for…
University of Oxford（牛津大学）；Mind Foundry Ltd.（思维铸造有限公司）
Recurrent neural networks (RNNs) are state-of-the-art in several sequential learning tasks, but they often require considerable amounts of data to generalise well. For many time series forecasting (TSF) tasks, only a few dozens of observations may be available at training time, which restricts use of this class of models. We propose a novel RNN-based model that directly addresses this problem by learning a shared feature embedding over the space of many quantised time series. We show how this enables our RNN framework to accurately and reliably forecast unseen time series, even when there is l…
Traffic forecasting is important for the success of intelligent transportation systems. Deep learning models, including convolution neural networks and recurrent neural networks, have been extensively applied in traffic forecasting problems to model spatial and temporal dependencies. In recent years, to model the graph structures in transportation systems as well as contextual information, graph neural networks have been introduced and have achieved state-of-the-art performance in a series of traffic forecasting problems. In this survey, we review the rapidly growing body of research using dif…
Benchmarking Probabilistic Time Series Forecasting Models on Neural Activity
Department of Applied Mathematics, University of Washington（应用数学系，华盛顿大学）；Department of Neurobiology and Biophysics, University of Washington（神经生物学与生物物理学系，华盛顿大学）；Allen Institute for Brain Science（脑科学研究所）；Department of Electrical and Computer Engineering, University of Washington（电气与计算机工程系，华盛顿大学）
Kavli IPMU (WPI), University of Tokyo（东京大学卡弗里数物连携宇宙研究机构（世界顶级国际研究中心））
In this work we propose a novel approach to utilize convolutional neural networks for time series forecasting. The time direction of the sequential data with spatial dimensions $D=1,2$ is considered democratically as the input of a spatiotemporal $(D+1)$-dimensional convolutional neural network. Latter then reduces the data stream from $D +1 \to D$ dimensions followed by an incriminator cell which uses this information to forecast the subsequent time step. We empirically compare this strategy to convolutional LSTM's and LSTM's on their performance on the sequential MNIST and the JSB chorals da…
For the last few years it has been observed that the Deep Neural Networks (DNNs) has achieved an excellent success in image classification, speech recognition. But DNNs are suffer great deal of challenges for time series forecasting because most of the time series data are nonlinear in nature and highly dynamic in behaviour. The time series forecasting has a great impact on our socio-economic environment. Hence, to deal with these challenges its need to be redefined the DNN model and keeping this in mind, data pre-processing, network architecture and network parameters are need to be consider …
Sorbonne Universités, UPMC Univ Paris 06, CNRS, LIP6 UMR 7606（索邦大学、巴黎第六大学、法国国家科学研究中心、巴黎第六大学计算机科学实验室（UMR 7606））；Vedecom Institute（维德科姆研究所）
We introduce a dynamical spatio-temporal model formalized as a recurrent neural network for forecasting time series of spatial processes, i.e. series of observations sharing temporal and spatial dependencies. The model learns these dependencies through a structured latent dynamical component, while a decoder predicts the observations from the latent representations. We consider several variants of this model, corresponding to different prior hypothesis about the spatial relations between the series. The model is evaluated and compared to state-of-the-art baselines, on a variety of forecasting …
University of Sherbrooke（舍布鲁克大学）；Laplace Insights（拉普拉斯洞察）；Unity Technologies（Unity技术公司）
We study the problem of efficiently scaling ensemble-based deep neural networks for multi-step time series (TS) forecasting on a large set of time series. Current state-of-the-art deep ensemble models have high memory and computational requirements, hampering their use to forecast millions of TS in practical scenarios. We propose N-BEATS(P), a global parallel variant of the N-BEATS model designed to allow simultaneous training of multiple univariate TS forecasting models. Our model addresses the practical limitations of related models, reducing the training time by half and memory requirement …
Point forecasting of univariate time series is a challenging problem with extensive work having been conducted. However, nonparametric probabilistic forecasting of time series, such as in the form of quantiles or prediction intervals is an even more challenging problem. In an effort to expand the possible forecasting paradigms we devise and explore an extrapolation-based approach that has not been applied before for probabilistic forecasting. We present a novel quantile Fourier neural network is for nonparametric probabilistic forecasting of univariate time series. Multi-step predictions are p…
CWI Amsterdam, the Netherlands（荷兰阿姆斯特丹数学与计算机科学研究院）
In this paper we study the generalization capabilities of fully-connected neural networks trained in the context of time series forecasting. Time series do not satisfy the typical assumption in statistical learning theory of the data being i.i.d. samples from some data-generating distribution. We use the input and weight Hessians, that is the smoothness of the learned function with respect to the input and the width of the minimum in weight space, to quantify a network's ability to generalize to unseen data. While such generalization metrics have been studied extensively in the i.i.d. setting …
Pacific Northwest National Laboratory（太平洋西北国家实验室）；University of Notre Dame（圣母大学）
Social media signals have been successfully used to develop large-scale predictive and anticipatory analytics. For example, forecasting stock market prices and influenza outbreaks. Recently, social data has been explored to forecast price fluctuations of cryptocurrencies, which are a novel disruptive technology with significant political and economic implications. In this paper we leverage and contrast the predictive power of social signals, specifically user behavior and communication patterns, from multiple social platforms GitHub and Reddit to forecast prices for three cyptocurrencies with …
Universiti Tun Hussein Onn Malaysia（马来西亚敦胡先翁大学）；Hodeidah University（荷台达大学）
Time series forecasting gets much attention due to its impact on many practical applications. Higher-order neural network with recurrent feedback is a powerful technique which used successfully for forecasting. It maintains fast learning and the ability to learn the dynamics of the series over time. For that, in this paper, we propose a novel model which is called Ridge Polynomial Neural Network with Error-Output Feedbacks (RPNN-EOFs) that combines the properties of higher order and error-output feedbacks. The well-known Mackey-Glass time series is used to test the forecasting capability of RP…
Recurrent Neural Networks (RNN) have become competitive forecasting methods, as most notably shown in the winning method of the recent M4 competition. However, established statistical models such as ETS and ARIMA gain their popularity not only from their high accuracy, but they are also suitable for non-expert users as they are robust, efficient, and automatic. In these areas, RNNs have still a long way to go. We present an extensive empirical study and an open-source software framework of existing RNN architectures for forecasting, that allow us to develop guidelines and best practices for th…
Argonne National Laboratory（阿贡国家实验室）；Lawrence Berkeley National Laboratory（劳伦斯伯克利国家实验室）
Wide area networking infrastructures (WANs), particularly science and research WANs, are the backbone for moving large volumes of scientific data between experimental facilities and data centers. With demands growing at exponential rates, these networks are struggling to cope with large data volumes, real-time responses, and overall network performance. Network operators are increasingly looking for innovative ways to manage the limited underlying network resources. Forecasting network traffic is a critical capability for proactive resource management, congestion mitigation, and dedicated tran…
Indian Institute of Technology Madras（印度理工学院马德拉斯分校）
A key problem in location-based modeling and forecasting lies in identifying suitable spatial and temporal resolutions. In particular, judicious spatial partitioning can play a significant role in enhancing the performance of location-based forecasting models. In this work, we investigate two widely used tessellation strategies for partitioning city space, in the context of real-time taxi demand forecasting. Our study compares (i) Geohash tessellation, and (ii) Voronoi tessellation, using two distinct taxi demand datasets, over multiple time scales. For the purpose of comparison, we employ cla…
Middle-term horizon (months to a year) power consumption prediction is a main challenge in the energy sector, in particular when probabilistic forecasting is considered. We propose a new modelling approach that incorporates trend, seasonality and weather conditions, as explicative variables in a shallow Neural Network with an autoregressive feature. We obtain excellent results for density forecast on the one-year test set applying it to the daily power consumption in New England U.S.A.. The quality of the achieved power consumption probabilistic forecasting has been verified, on the one hand, …
Zhejiang University（浙江大学）；Alibaba-Zhejiang University Joint Research Institute of Frontier Technologies（阿里巴巴-浙江大学前沿技术联合研究院）；Wuhan University（武汉大学）
The problem of air pollution threatens public health. Air quality forecasting can provide the air quality index hours or even days later, which can help the public to prevent air pollution in advance. Previous works focus on citywide air quality forecasting and cannot solve nationwide city forecasting problem, whose difficulties lie in capturing the latent dependencies between geographically distant but highly correlated cities. In this paper, we propose the group-aware graph neural network (GAGNN), a hierarchical model for nationwide city air quality forecasting. The model constructs a city g…
Argonne National Laboratory（阿贡国家实验室）；Lawrence Berkeley National Laboratory（劳伦斯伯克利国家实验室）
Deep-learning-based data-driven forecasting methods have produced impressive results for traffic forecasting. A major limitation of these methods, however, is that they provide forecasts without estimates of uncertainty, which are critical for real-time deployments. We focus on a diffusion convolutional recurrent neural network (DCRNN), a state-of-the-art method for short-term traffic forecasting. We develop a scalable deep ensemble approach to quantify uncertainties for DCRNN. Our approach uses a scalable Bayesian optimization method to perform hyperparameter optimization, selects a set of hi…
Traffic forecasting is a core element of intelligent traffic monitoring system. Approaches based on graph neural networks have been widely used in this task to effectively capture spatial and temporal dependencies of road networks. However, these approaches can not effectively define the complicated network topology. Besides, their cascade network structures have limitations in transmitting distinct features in the time and space dimensions. In this paper, we propose a Multi-adaptive Spatiotemporal-flow Graph Neural Network (MAF-GNN) for traffic speed forecasting. MAF-GNN introduces an effecti…
A Generic Approach to Integrating Time into Spatial-Temporal Forecasting via Conditional Neural Fields
Paris Research Center, Huawei Technologies France（华为技术法国巴黎研究中心）；IMT Atlantique（大西洋国立高等工业技术与矿业学校）；Nantes Université（南特大学）；École Centrale Nantes（南特中央理工学院）；CNRS（法国国家科学研究中心）；INRIA（法国国家信息与自动化研究所）；LS2N（南特数字科学实验室）；Orange Labs, France（法国Orange实验室）
With the advent of Big Data, nowadays in many applications databases containing large quantities of similar time series are available. Forecasting time series in these domains with traditional univariate forecasting procedures leaves great potentials for producing accurate forecasts untapped. Recurrent neural networks (RNNs), and in particular Long Short-Term Memory (LSTM) networks, have proven recently that they are able to outperform state-of-the-art univariate time series forecasting methods in this context when trained across all available time series. However, if the time series database …
Tampere University of Technology（坦佩雷理工大学）；Aarhus University（奥胡斯大学）
Forecasting based on financial time-series is a challenging task since most real-world data exhibits nonstationary property and nonlinear dependencies. In addition, different data modalities often embed different nonlinear relationships which are difficult to capture by human-designed models. To tackle the supervised learning task in financial time-series prediction, we propose the application of a recently formulated algorithm that adaptively learns a mapping function, realized by a heterogeneous neural architecture composing of Generalized Operational Perceptron, given a set of labeled data.…
European Commission, Joint Research Centre（欧盟委员会联合研究中心）；Università Ca’ Foscari Venezia（威尼斯大学）
In this paper we employ economic news within a neural network framework to forecast the Italian 10-year interest rate spread. We use a big, open-source, database known as Global Database of Events, Language and Tone to extract topical and emotional news content linked to bond markets dynamics. We deploy such information within a probabilistic forecasting framework with autoregressive recurrent networks (DeepAR). Our findings suggest that a deep learning network based on Long-Short Term Memory cells outperforms classical machine learning techniques and provides a forecasting performance that is…
In this paper, we consider high-dimensional stationary processes where a new observation is generated from a compressed version of past observations. The specific evolution is modeled by an encoder-decoder structure. We estimate the evolution with an encoder-decoder neural network and give upper bounds for the expected forecast error under specific structural and sparsity assumptions. The results are shown separately for conditions either on the absolutely regular mixing coefficients or the functional dependence measure of the observed process. In a quantitative simulation we discuss the behav…
Leveraging Spatiotemporal Graph Neural Networks for Multi-Store Sales Forecasting
Department of Chemical Engineering, IIT Bombay（印度博亚理工大学化学工程系）；Rajiv Gandhi University（拉吉夫·甘地大学）；Tsinghua University（清华大学）；Palmer Research Laboratories（帕勒尔研究实验室）
University of Georgia（佐治亚大学）；Kennesaw State University（肯尼索州立大学）
Statistical methods such as the Box-Jenkins method for time-series forecasting have been prominent since their development in 1970. Many researchers rely on such models as they can be efficiently estimated and also provide interpretability. However, advances in machine learning research indicate that neural networks can be powerful data modeling techniques, as they can give higher accuracy for a plethora of learning problems and datasets. In the past, they have been tried on time-series forecasting as well, but their overall results have not been significantly better than the statistical model…
Forecasting future states of sensors is key to solving tasks like weather prediction, route planning, and many others when dealing with networks of sensors. But complete spatial coverage of sensors is generally unavailable and would practically be infeasible due to limitations in budget and other resources during deployment and maintenance. Currently existing approaches using machine learning are limited to the spatial locations where data was observed, causing limitations to downstream tasks. Inspired by the recent surge of Graph Neural Networks for spatio-temporal data processing, we investi…
In this technical report, we present our solution for the Baidu KDD Cup 2022 Spatial Dynamic Wind Power Forecasting Challenge. Wind power is a rapidly growing source of clean energy. Accurate wind power forecasting is essential for grid stability and the security of supply. Therefore, organizers provide a wind power dataset containing historical data from 134 wind turbines and launch the Baidu KDD Cup 2022 to examine the limitations of current methods for wind power forecasting. The average of RMSE (Root Mean Square Error) and MAE (Mean Absolute Error) is used as the evaluation score. We adopt…
Laboratório Nacional de Engenharia Civil（国家土木工程实验室）；INESC-ID；Instituto Superior Técnico, University of Lisbon（里斯本大学高等技术学院）
The significant increase in world population and urbanisation has brought several important challenges, in particular regarding the sustainability, maintenance and planning of urban mobility. At the same time, the exponential increase of computing capability and of available sensor and location data have offered the potential for innovative solutions to these challenges. In this work, we focus on the challenge of traffic forecasting and review the recent development and application of graph neural networks (GNN) to this problem. GNNs are a class of deep learning methods that directly process t…
In this work, we examine a novel forecasting approach for COVID-19 case prediction that uses Graph Neural Networks and mobility data. In contrast to existing time series forecasting models, the proposed approach learns from a single large-scale spatio-temporal graph, where nodes represent the region-level human mobility, spatial edges represent the human mobility based inter-region connectivity, and temporal edges represent node features through time. We evaluate this approach on the US county level COVID-19 dataset, and demonstrate that the rich spatial and temporal information leveraged by t…
Uber Advanced Technologies Group（优步先进技术集团）；University of Toronto（多伦多大学）
In this paper, we tackle the problem of relational behavior forecasting from sensor data. Towards this goal, we propose a novel spatially-aware graph neural network (SpAGNN) that models the interactions between agents in the scene. Specifically, we exploit a convolutional neural network to detect the actors and compute their initial states. A graph neural network then iteratively updates the actor states via a message passing process. Inspired by Gaussian belief propagation, we design the messages to be spatially-transformed parameters of the output distributions from neighboring agents. Our m…
Ecole Polytechnique（巴黎综合理工学院）；Exoduspoint Capital Management France（法国Exoduspoint资本管理公司）；ENSAE Paris（巴黎国立统计与经济管理学院）
The existing publications demonstrate that the limit order book data is useful in predicting short-term volatility in stock markets. Since stocks are not independent, changes on one stock can also impact other related stocks. In this paper, we are interested in forecasting short-term realized volatility in a multivariate approach based on limit order book data and relational data. To achieve this goal, we introduce Graph Transformer Network for Volatility Forecasting. The model allows to combine limit order book features and an unlimited number of temporal and cross-sectional relations from di…
We present a regime-switching vector-autoregressive method for very-short-term wind speed forecasting at multiple locations with regimes based on large-scale meteorological phenomena. Statistical methods short-term wind forecasting out-perform numerical weather prediction for forecast horizons up to a few hours, and the spatio-temporal interdependency between geographically dispersed locations may be exploited to improve forecast skill. Here we show that conditioning spatio-temporal interdependency on `atmospheric modes' can further improve forecast performance. The modes are defined from the …
National University of Singapore（新加坡国立大学）；University of Hong Kong（香港大学）；Nanyang Technological University（南洋理工大学）
Spatio-temporal graph neural networks (STGNN) have become the most popular solution to traffic forecasting. While successful, they rely on the message passing scheme of GNNs to establish spatial dependencies between nodes, and thus inevitably inherit GNNs' notorious inefficiency. Given these facts, in this paper, we propose an embarrassingly simple yet remarkably effective spatio-temporal learning approach, entitled SimST. Specifically, SimST approximates the efficacies of GNNs by two spatial learning techniques, which respectively model local and global spatial correlations. Moreover, SimST c…
Spatial-temporal data forecasting of traffic flow is a challenging task because of complicated spatial dependencies and dynamical trends of temporal pattern between different roads. Existing frameworks typically utilize given spatial adjacency graph and sophisticated mechanisms for modeling spatial and temporal correlations. However, limited representations of given spatial graph structure with incomplete adjacent connections may restrict effective spatial-temporal dependencies learning of those models. To overcome those limitations, our paper proposes Spatial-Temporal Fusion Graph Neural Netw…
