Exchange rate forecasting is an important and challenging task for both academic researchers and business practitioners. Several statistical or artificial intelligence approaches have been applied to forecasting exchange rate. The recent trend to improve the prediction accuracy is to combine individual forecasts in the form of the simple average or weighted average where the weight reflects the inverse of the prediction error. This kind of combination, however, does not reflect the current prediction error more than the relatively old performance. In this paper, we propose a new approach where the forecasting results of GARCH and neural networks are combined based on the weight reflecting the inverse of EWMA of the mean absolute percentage error (MAPE) of each individual prediction model. Empirical study results indicate that the proposed combining method has better accuracy than GARCH, neural networks, and traditional combining methods that utilize the MAPE for the weight.
This tutorial is based on modification of the professor nomination lecture presented two years ago in front of the Scientific Council of the Czech Technical University in Prague [16]. It is devoted to the techniques for the models developing suitable for processes forecasting in complex systems. Because of the high sensitivity of the processes to the initial conditions and, consequently, due to our limited possibilities to forecast the processes for the long-term horizon, the attention is focused on the techniques leading to practical applications of the short term prediction models. The aim of this tutorial paper is to bring attention to possible difficulties which designers of the predicting models and their users meet and which have to be solved during the prediction model developing, validation, testing, and applications. The presented overview is not complete, it only reflects the authors experience with developing of the prediction models for practical tasks solving in banking, meteorology, air pollution and energy sector. The paper is completed by an example of the global solar radiation prediction which forms an important input for the electrical energy production forecast from renewable sources. The global solar radiation forecasting is based on numerical weather prediction models. The time-lagged ensemble technique for uncertainty quantification is demonstrated on a simple example.
In this paper, we propose a new global and fast Multilayer Perceptron Neural Network (MLP-NN) which can be used to forecast the automotive price. Nowadays, the gradient-based techniques, such as back propagation, are widely used for training neural networks. These techniques have local convergence results and, therefore, can perform poorly even on simple problems when forecasting is out of sample. On the other hand, the global search algorithms, like Tabu Search (TS), suffer from low rate convergence. Motivated by these facts, a new global and fast hybrid algorithm for training MLP-NN is provided. In our new framework, a hybridization of an extended version of TS with some local techniques is constructed in order to train the connected weights of the network. The extended version of TS in the proposed scheme consists of a simple TS together with the intensification and diversification search methods, and the local search methods are based on a direct strategy of Nelder-Mead (NM) or Levenberg-Marquardt (LM) techniques. This hybridization leads us to have a global and fast trained network in order to use in some forecasting problems. To show the efficiency and effectiveness of our new proposed network, we apply our new scheme for forecasting the automotive price in Iran Khodro Company which is the biggest car manufacturer in Iran. The results are promising compared to the cases when we apply the TS and some other forecasting techniques individually. We also compare the results with the case when we employ the gradient-based optimization techniques such as LM, and global search methods such as Genetic Algorithm (GA) and hybrid of MLP-NN with GA.
There is no need to emphasize strongly the economical aspect of energy consumption forecasting in the current conditions of price formation for natural gas distribution companies. Knowledge of the future maximal values of a natural gas load over a day, a week or a month prediction horizon is very important for dispatchers in power distribution companies, who use this information for operating and planning. In our contribution we discuss a possibility to connect the natural gas consumption prediction module with a risk management module. The distribution function of the prediction errors (coming from the prediction module) is estimated and probability P (load > threshold) is derived. The optimal selection of possible regulations of individual consumers is performed by maximizing the economical profit or minimizing the company loss. The number of a possible combination is very large and therefore we use genetic algorithms (GA) as a powerful tool. The results from the two examples are shown: the optimal regulation design strategy (minimal loss) and the optimal gas selling strategy design (maximal profit).