Forecasting China’s sovereign CDS with a decomposition reconstruction strategy

Do multisource data matter for NGP prediction? Evidence from the G-LSTM model

Precisely predicting natural gas prices (NGPs) is important because it can provide the necessary decision-making basis for energy scheduling, planning and control. However, NGPs are affected by many factors and exhibit the characteristics of nonlinearity and randomness, which makes accurate predictions challenging. Therefore, in this paper, the information gain of multisource data and the global optimization ability of the gray wolf algorithm are used to build a multifactor-driven NGP hybrid forecasting model to improve the prediction performance. First, the emotional tendency and readability of news text are extracted and calculated by using VADER and textstat tools, respectively. Then the network search index is filtered and integrated by using the correlation coefficient method and the CRITIC method to form alternative variables of multisource data (news and search index). Second, the gray wolf optimization algorithm is used to find and determine the best key parameter group in long short-term memory model. Finally, the spot price of natural gas in Henry Hub from March 1, 2012 to February 28, 2022 is selected as the prediction object, and multi-scenario numerical experiments are carried out to verify the effectiveness of the proposed model. The ablation experiment results show that the information gain brought by multisource data can effectively improve the prediction effect of NGPs. Furthermore, the proposed model has the best prediction performance in different scenarios and can be regarded as a promising prediction tool.

Machine learning for better prediction of seepage flow through embankment dams: Gaussian process regression versus SVR and RVM

In the present study, three machine learning methods were applied for predicting seepage flow through embankment dams, namely (i) support vector regression (SVR), relevance vector machine (RVM), and Gaussian process regression (GPR). The three models were developed using seepage flow (Q: L/mn) and piezometer level (Z:m) measured at several piezometers placed in the corps body of the dam. The proposed models were calibrated and validated using a separate subset. Models evaluation and comparison was successfully achieved using various performances metrics, i.e., coefficient of correlation (R), Nash-Sutcliffe efficiency (NSE), root mean square error (RMSE), and mean absolute error (MAE). Experimental results showed that the proposed models are a good alternative to the in situ measured and contributed significantly in overcoming the case of missing measured seepage flow. The best performances were obtained using the RVM model with R and NSE values of ≈0.909 and ≈0.823, followed by the GPR model with R and NSE values of ≈0.891 and ≈0.767, while the SVR model was ranked as the poorest one exhibiting R and NSE values of ≈0.780 and ≈0.600, respectively. While, a growing number of investigations have focused on testing machine learning in terms of their feasibilities to accurately describe seepage flow, as well as providing important support to our understanding of the factors affecting its fluctuation, the present work was demonstrated that the combination of a wide range of variables can help in simulating seepage flow, and enhance their sensitivity which has help in developing new algorithms.

An optimized decomposition integration framework for carbon price prediction based on multi-factor two-stage feature dimension reduction

The carbon trading market is an effective tool to combat greenhouse gas emissions, and as the core issue of carbon market, carbon price can stimulate the market for technological innovation and industrial transformation. However, the complex characteristics of carbon price such as nonlinearity and nonstationarity bring great challenges to carbon price prediction research. In this study, potential influencing factors of carbon price are introduced into carbon price forecasting, and a novel hybrid carbon price forecasting framework is developed, which contains data decomposition and reconstruction techniques, two-stage feature dimension reduction methods, intelligent and optimized deep learning forecasting with nonlinear integrated models and interval forecasting. Firstly, the carbon price series is decomposed into several simple and smooth subsequences using variational modal decomposition. The stacked autoencoder is then used to extract its effective features and reconstruct them into several new subsequences. A two-stage feature dimension reduction method is utilized for feature selection and extraction of exogenous variables. A bidirectional long and short-term memory model optimized based on the cuckoo search algorithm was used for prediction and nonlinear integration. Finally, Gaussian process regression based on a hybrid kernel function is applied to carbon price interval forecasting. The validity of the model was verified on seven real carbon trading pilot datasets in China. The methodology outperforms all benchmark models in the final simulation results, providing a novel and efficient forecasting method for the carbon trading industry.

Two-stage deep learning hybrid framework based on multi-factor multi-scale and intelligent optimization for air pollutant prediction and early warning

Effective prediction of air pollution concentrations is of great importance to both the physical and mental health of citizens and urban pollution control. As one of the main components of air pollutants, accurate prediction of PM_2.5 can provide a reference for air pollution control and pollution warning. This study proposes an air pollutant prediction and early warning framework, which innovatively combines feature extraction techniques, feature selection methods and intelligent optimization algorithms. First, the PM_2.5 sequence is decomposed into several subsequences using the complete ensemble empirical mode decomposition with adaptive noise, and then the new components of the subsequences with different complexity are reconstructed using fuzzy entropy. Then, the Max-Relevance and Min-Redundancy method is used to select the influencing factors of the different reconstructed components. Then, a two-stage deep learning hybrid framework is constructed to model the prediction and nonlinear integration of the reconstructed components using a long short-term memory artificial neural network optimized by the gray wolf optimization algorithm. Finally, based on the proposed hybrid prediction framework, effective prediction and early warning of air pollutants are achieved. In an empirical study in three cities in China, the prediction accuracy, warning accuracy and prediction stability of the proposed hybrid framework outperformed the other comparative models. The analysis results indicate that the developed hybrid framework can be used as an effective tool for air pollutant prediction and early warning.

Intelligent Optimization Based Multi-Factor Deep Learning Stock Selection Model and Quantitative Trading Strategy

With the rapid development of financial research theory and artificial intelligence technology, quantitative investment has gradually entered people’s attention. Compared with traditional investment, the advantage of quantitative investment lies in quantification and refinement. In quantitative investment technology, quantitative stock selection is the foundation. Without good stock selection ability, the effect of quantitative investment will be greatly reduced. Therefore, this paper builds an effective multi-factor stock selection model based on intelligent optimization algorithms and deep learning and proposes corresponding trading strategies based on this. First of all, this paper selects 26 effective factors of financial indicators, technical indicators and public opinion to construct the factor database. Secondly, a Gated Recurrent Unit (GRU) neural network based on the Cuckoo Search (CS) optimization algorithm is used to build a stock selection model. Finally, a quantitative investment strategy is designed, and the proposed multi-factor deep learning stock selection model based on intelligent optimization is applied to practice to test its effectiveness. The results show that the quantitative trading strategy based on this model achieved a Sharpe ratio of 127.08%, an annualized rate of return of 40.66%, an excess return of 13.13% and a maximum drawdown rate of −17.38% during the back test period. Compared with other benchmark models, the proposed stock selection model achieved better back test performance.