This paper explores the application of Hidden Markov Models (HMM) and Long Short-Term Memory (LSTM) neural networks for economic forecasting, focusing on predicting CPI inflation rates. The study explores a new approach that integrates HMM-derived hidden states and means as additional features for LSTM modeling, aiming to enhance the interpretability and predictive performance of the models. The research begins with data collection and preprocessing, followed by the implementation of the HMM to identify hidden states representing distinct economic conditions. Subsequently, LSTM models are trained using the original and augmented data sets, allowing for comparative analysis and evaluation. The results demonstrate that incorporating HMM-derived data improves the predictive accuracy of LSTM models, particularly in capturing complex temporal patterns and mitigating the impact of volatile economic conditions. Additionally, the paper discusses the implementation of Integrated Gradients for model interpretability and provides insights into the economic dynamics reflected in the forecasting outcomes.
Forecasting time series data is an important subject in economics, business, and finance. Traditionally, there are several techniques to effectively forecast the next lag of time series data such as univariate Autoregressive (AR), univariate Moving Average (MA), Simple Exponential Smoothing (SES), and more notably Autoregressive Integrated Moving Average (ARIMA) with its many variations. In particular, ARIMA model has demonstrated its outperformance in precision and accuracy of predicting the next lags of time series. With the recent advancement in computational power of computers and more imp…
University of Toronto（多伦多大学）；University of Waterloo（滑铁卢大学）
Language models based on deep neural networks and traditional stochastic modelling have become both highly functional and effective in recent times. In this work, a general survey into the two types of language modelling is conducted. We investigate the effectiveness of the Hidden Markov Model (HMM), and the Long Short-Term Memory Model (LSTM). We analyze the hidden state structures common to both models, and present an analysis on structural similarity of the hidden states, common to both HMM's and LSTM's. We compare the LSTM's predictive accuracy and hidden state output with respect to the H…
Being able to model and forecast international migration as precisely as possible is crucial for policymaking. Recently Google Trends data in addition to other economic and demographic data have been shown to improve the forecasting quality of a gravity linear model for the one-year ahead forecasting. In this work, we replace the linear model with a long short-term memory (LSTM) approach and compare it with two existing approaches: the linear gravity model and an artificial neural network (ANN) model. Our LSTM approach combined with Google Trends data outperforms both these models on various m…
Considering audio and image data as having quantum nature (data are represented by density matrices), we achieved better results on training architectures such as 3-layer stacked LSTM and HMM by mixing training samples using superposition augmentation and compared with plain default training and mix-up augmentation. This augmentation technique originates from the mix-up approach but provides more solid theoretical reasoning based on quantum properties. We achieved 3% improvement (from 68% to 71%) by using 38% lesser number of training samples in Russian audio-digits recognition task and 7,16% …
Faculty of Economics, Khon Kaen University（孔敬大学经济学院）；Khon Kaen University（孔敬大学）
This paper demonstrates the potentials of the long short-term memory (LSTM) when applyingwith macroeconomic time series data sampled at different frequencies. We first present how theconventional LSTM model can be adapted to the time series observed at mixed frequencies when thesame mismatch ratio is applied for all pairs of low-frequency output and higher-frequency variable. Togeneralize the LSTM to the case of multiple mismatch ratios, we adopt the unrestricted Mixed DAtaSampling (U-MIDAS) scheme (Foroni et al., 2015) into the LSTM architecture. We assess via bothMonte Carlo simulations and …
As deep neural networks continue to revolutionize various application domains, there is increasing interest in making these powerful models more understandable and interpretable, and narrowing down the causes of good and bad predictions. We focus on recurrent neural networks, state of the art models in speech recognition and translation. Our approach to increasing interpretability is by combining a long short-term memory (LSTM) model with a hidden Markov model (HMM), a simpler and more transparent model. We add the HMM state probabilities to the output layer of the LSTM, and then train the HMM…
As deep neural networks continue to revolutionize various application domains, there is increasing interest in making these powerful models more understandable and interpretable, and narrowing down the causes of good and bad predictions. We focus on recurrent neural networks (RNNs), state of the art models in speech recognition and translation. Our approach to increasing interpretability is by combining an RNN with a hidden Markov model (HMM), a simpler and more transparent model. We explore various combinations of RNNs and HMMs: an HMM trained on LSTM states; a hybrid model where an HMM is tr…
This paper intends to apply the Hidden Markov Model into stock market and and make predictions. Moreover, four different methods of improvement, which are GMM-HMM, XGB-HMM, GMM-HMM+LSTM and XGB-HMM+LSTM, will be discussed later with the results of experiment respectively. After that we will analyze the pros and cons of different models. And finally, one of the best will be used into stock market for timing strategy.
AIMS South Africa（南非非洲数学科学研究所）；Stellenbosch University（斯泰伦博斯大学）；University of Cape Town（开普敦大学）；Technical University of Munich（慕尼黑工业大学）；Fraunhofer Society（弗劳恩霍夫协会）
Recurrent neural networks (RNNs) are more suitable for learning non-linear dependencies in dynamical systems from observed time series data. In practice all the external variables driving such systems are not known a priori, especially in economical forecasting. A class of RNNs called Error Correction Neural Networks (ECNNs) was designed to compensate for missing input variables. It does this by feeding back in the current step the error made in the previous step. The ECNN is implemented in Python by the computation of the appropriate gradients and it is tested on stock market predictions. As …
Forecasting India's Demographic Transition Under Fertility Policy Scenarios Using hybrid LSTM-PINN Model
Sant Longowal Institute of Engineering and Technology（桑特·朗戈瓦尔工程与技术学院）；School of Computer and Mathematical Sciences, The University of Adelaide（计算机与数学科学学院，阿德莱德大学）
Artificial neural networks (ANNs) have been the catalyst to numerous advances in a variety of fields and disciplines in recent years. Their impact on economics, however, has been comparatively muted. One type of ANN, the long short-term memory network (LSTM), is particularly wellsuited to deal with economic time-series. Here, the architecture's performance and characteristics are evaluated in comparison with the dynamic factor model (DFM), currently a popular choice in the field of economic nowcasting. LSTMs are found to produce superior results to DFMs in the nowcasting of three separate vari…
G.B Pant Institute of Technology（G.B.潘特技术学院）；Netaji Subhas Institute of Technology（内塔吉·苏巴斯技术学院）；University of Delhi（德里大学）
A reliable forecast of inflows to the reservoir is a key factor in the optimal operation of reservoirs. Real-time operation of the reservoir based on forecasts of inflows can lead to substantial economic gains. However, the forecast of inflow is an intricate task as it has to incorporate the impacts of climate and hydrological changes. Therefore, the major objective of the present work is to develop a novel approach based on long short-term memory (LSTM) for the forecast of inflows. Real-time inflow forecast, in other words, daily inflow at the reservoir helps in efficient operation of water r…
Universidad Nacional de Colombia（哥伦比亚国立大学）；University of Florida（佛罗里达大学）
Accurate mechanisms for forecasting solar irradiance and insolation provide important information for the planning of renewable energy and agriculture projects as well as for environmental and socio-economical studies. This research introduces a pipeline for the one-day ahead forecasting of solar irradiance and insolation that only requires solar irradiance historical data for training. Furthermore, our approach is able to deal with missing data since it includes a data imputation state. In the prediction stage, we consider four data-driven approaches: Autoregressive Integrated Moving Average …
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 …
Agricultural Recommendation System based on Deep Learning: A Multivariate Weather Forecasting Approach
Chittagong University of Engineering & Technology（吉大港工程技术大学）；Khulna University of Engineering & Technology（库尔纳工程技术大学）；University of Illinois at Chicago（芝加哥大学伊利诺伊分校）；Khulna Agricultural University（库尔纳农业大学）；Edith Cowan University（伊迪丝·考恩大学）
Time-Series Forecasting is a powerful data modeling discipline that analyzes historical observations to predict future values of a time-series. It has been utilized in numerous applications, including but not limited to economics, meteorology, and health. In this paper, we use time-series forecasting techniques to model and predict the future incidence of chickenpox. To achieve this, we implement and simulate multiple models and data preprocessing techniques on a Hungary-collected dataset. We demonstrate that the LSTM model outperforms all other models in the vast majority of the experiments i…
Modeling Eye Gaze Velocity Trajectories using GANs with Spectral Loss for Enhanced Fidelity
OsloMet – Oslo Metropolitan University（奥斯陆met大学）；OsloMet Artificial Intelligence Lab（奥斯陆met人工智能实验室）；NordSTAR – Nordic Center for Sustainable and Trustworthy AI Research（北欧可持续和可信AI研究中心）；Simula Research Laboratory（simula研究实验室）
CSIRO Data61（澳大利亚联邦科学与工业研究组织Data61）；The Australian National University（澳大利亚国立大学）；Defence Science and Technology Group, Department of Defence（国防部国防科学与技术集团）；CSIRO（澳大利亚联邦科学与工业研究组织）
Sea surface temperature (SST) variability plays a key role in the global weather and climate system, with phenomena such as El Niño-Southern Oscillation regarded as a major source of interannual climate variability at the global scale. The ability to be able to make long-range forecasts of sea surface temperature anomalies, especially those associated with extreme marine heatwave events, has potentially significant economic and societal benefits. We have developed a deep learning time series prediction model (Unet-LSTM) based on more than 70 years (1950-2021) of ECMWF ERA5 monthly mean sea sur…
In recent years, renewable energy resources have accounted for an increasing share of electricity energy.Among them, photovoltaic (PV) power generation has received broad attention due to its economic and environmental benefits.Accurate PV generation forecasts can reduce power dispatch from the grid, thus increasing the supplier's profit in the day-ahead electricity market.The power system of a PV site is affected by solar radiation, PV plant properties and meteorological factors, resulting in uncertainty in its power output.This study used multiple seasonal-trend decomposition using LOESS (MS…
Birla Institute of Technology and Science, Pilani（博拉理工与科学大学皮拉尼分校）
In todays global economy, accuracy in predicting macro-economic parameters such as the foreign the exchange rate or at least estimating the trend correctly is of key importance for any future investment. In recent times, the use of computational intelligence-based techniques for forecasting macroeconomic variables has been proven highly successful. This paper tries to come up with a multivariate time series approach to forecast the exchange rate (USD/INR) while parallelly comparing the performance of three multivariate prediction modelling techniques: Vector Auto Regression (a Traditional Econ…
Improving accuracy in short mortality rate series: Exploring Multi-step Forecasting Approaches in Hybrid Systems
Departamento de Finanças e Contabilidade Universidade Federal da Paraíba（财务与会计系 伯南布哥联邦大学）；Centro de Informática Universidade Federal de Pernambuco（计算机中心 皮奥伊联邦大学）；Departamento de Estatística e Informática Universidade Federal do Cariri（统计与计算机系 卡里里联邦大学）
Indiana University（印第安纳大学）；University of Pittsburgh（匹兹堡大学）；Health Analytics Network（健康分析网络）
The COVID-19 pandemic has profound global consequences on health, economic, social, political, and almost every major aspect of human life. Therefore, it is of great importance to model COVID-19 and other pandemics in terms of the broader social contexts in which they take place. We present the architecture of AICov, which provides an integrative deep learning framework for COVID-19 forecasting with population covariates, some of which may serve as putative risk factors. We have integrated multiple different strategies into AICov, including the ability to use deep learning strategies based on …
By trade we usually mean the exchange of goods between states and countries. International trade acts as a barometer of the economic prosperity index and every country is overly dependent on resources, so international trade is essential. Trade is significant to the global health crisis, saving lives and livelihoods. By collecting the dataset called "Effects of COVID19 on trade" from the state website NZ Tatauranga Aotearoa, we have developed a sustainable prediction process on the effects of COVID-19 in world trade using a deep learning model. In the research, we have given a 180-day trade fo…
Oil and gas pipeline leakages lead to not only enormous economic loss but also environmental disasters. How to detect the pipeline damages including leakages and cracks has attracted much research attention. One of the promising leakage detection method is to use lead zirconate titanate (PZT) transducers to detect the negative pressure wave when leakage occurs. PZT transducers can generate and detect guided stress waves for crack detection also. However, the negative pressure waves or guided stress waves may not be easily detected with environmental interference, e.g., the oil and gas pipeline…
Disaster Management HPC Technology Research Center, KISTI（韩国科学技术信息研究院灾害管理高性能计算技术研究中心）；Dept. of Big Data Science, UST-KISTI（韩国科学技术联合大学院大学大数据科学系）
Accurate rainfall forecasting is critical because it has a great impact on people's social and economic activities. Recent trends on various literatures show that Deep Learning (Neural Network) is a promising methodology to tackle many challenging tasks. In this study, we introduce a brand-new data-driven precipitation prediction model called DeepRain. This model predicts the amount of rainfall from weather radar data, which is three-dimensional and four-channel data, using convolutional LSTM (ConvLSTM). ConvLSTM is a variant of LSTM (Long Short-Term Memory) containing a convolution operation …
University of Pisa（比萨大学）；ISTI-CNR（意大利国家研究委员会信息科学与技术研究所）
Soccer analytics is attracting increasing interest in academia and industry, thanks to the availability of data that describe all the spatio-temporal events that occur in each match. These events (e.g., passes, shots, fouls) are collected by human operators manually, constituting a considerable cost for data providers in terms of time and economic resources. In this paper, we describe PassNet, a method to recognize the most frequent events in soccer, i.e., passes, from video streams. Our model combines a set of artificial neural networks that perform feature extraction from video streams, obje…
Idea-re S.r.l.（伊迪亚雷有限公司）；Guglielmo Marconi University（古列尔莫·马可尼大学）；Cancelloni Food Service S.p.A.（坎切洛尼餐饮服务股份公司）
Setting sale prices correctly is of great importance for firms, and the study and forecast of prices time series is therefore a relevant topic not only from a data science perspective but also from an economic and applicative one. In this paper we examine different techniques to forecast sale prices applied by an Italian food wholesaler, as a step towards the automation of pricing tasks usually taken care by human workforce. We consider ARIMA models and compare them to Prophet, a scalable forecasting tool by Facebook based on a generalized additive model, and to deep learning models exploiting…
Enhancing Exchange Rate Forecasting with Explainable Deep Learning Models
Central University of Finance and Economics（中央财经大学）；New York University（纽约大学）；Harvard University（哈佛大学）；Columbia University（哥伦比亚大学）；University of Michigan（密歇根大学）
Reliable and accurate wind speed prediction has significant impact in many industrial sectors such as economic, business and management among others. This paper presents a new model for wind speed prediction based on Graph Attention Networks (GAT). In particular, the proposed model extends GAT architecture by equipping it with a learnable adjacency matrix as well as incorporating a new attention mechanism with the aim of obtaining attention scores per weather variable. The output of the GAT based model is combined with the LSTM layer in order to exploit both the spatial and temporal characteri…
