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Article
Publication date: 20 November 2020

Lydie Myriam Marcelle Amelot, Ushad Subadar Agathee and Yuvraj Sunecher

This study constructs time series model, artificial neural networks (ANNs) and statistical topologies to examine the volatility and forecast foreign exchange rates. The Mauritian…

Abstract

Purpose

This study constructs time series model, artificial neural networks (ANNs) and statistical topologies to examine the volatility and forecast foreign exchange rates. The Mauritian forex market has been utilized as a case study, and daily data for nominal spot rate (during a time period of five years spanning from 2014 to 2018) for EUR/MUR, GBP/MUR, CAD/MUR and AUD/MUR have been applied for the predictions.

Design/methodology/approach

Autoregressive integrated moving average (ARIMA) and generalized autoregressive conditional heteroskedasticity (GARCH) models are used as a basis for time series modelling for the analysis, along with the non-linear autoregressive network with exogenous inputs (NARX) neural network backpropagation algorithm utilizing different training functions, namely, Levenberg–Marquardt (LM), Bayesian regularization and scaled conjugate gradient (SCG) algorithms. The study also features a hybrid kernel principal component analysis (KPCA) using the support vector regression (SVR) algorithm as an additional statistical tool to conduct financial market forecasting modelling. Mean squared error (MSE) and root mean square error (RMSE) are employed as indicators for the performance of the models.

Findings

The results demonstrated that the GARCH model performed better in terms of volatility clustering and prediction compared to the ARIMA model. On the other hand, the NARX model indicated that LM and Bayesian regularization training algorithms are the most appropriate method of forecasting the different currency exchange rates as the MSE and RMSE seemed to be the lowest error compared to the other training functions. Meanwhile, the results reported that NARX and KPCASVR topologies outperformed the linear time series models due to the theory based on the structural risk minimization principle. Finally, the comparison between the NARX model and KPCASVR illustrated that the NARX model outperformed the statistical prediction model. Overall, the study deduced that the NARX topology achieves better prediction performance results compared to time series and statistical parameters.

Research limitations/implications

The foreign exchange market is considered to be instable owing to uncertainties in the economic environment of any country and thus, accurate forecasting of foreign exchange rates is crucial for any foreign exchange activity. The study has an important economic implication as it will help researchers, investors, traders, speculators and financial analysts, users of financial news in banking and financial institutions, money changers, non-banking financial companies and stock exchange institutions in Mauritius to take investment decisions in terms of international portfolios. Moreover, currency rates instability might raise transaction costs and diminish the returns in terms of international trade. Exchange rate volatility raises the need to implement a highly organized risk management measures so as to disclose future trend and movement of the foreign currencies which could act as an essential guidance for foreign exchange participants. By this way, they will be more alert before conducting any forex transactions including hedging, asset pricing or any speculation activity, take corrective actions, thus preventing them from making any potential losses in the future and gain more profit.

Originality/value

This is one of the first studies applying artificial intelligence (AI) while making use of time series modelling, the NARX neural network backpropagation algorithm and hybrid KPCASVR to predict forex using multiple currencies in the foreign exchange market in Mauritius.

Details

African Journal of Economic and Management Studies, vol. 12 no. 1
Type: Research Article
ISSN: 2040-0705

Keywords

Article
Publication date: 24 August 2022

Xiuwu Sui, Qijun Liu and Fangteng Zhang

At present, the research on energy consumption of human clothing mainly focuses on behavior observation method, questionnaire survey method, heart rate monitoring method and…

Abstract

Purpose

At present, the research on energy consumption of human clothing mainly focuses on behavior observation method, questionnaire survey method, heart rate monitoring method and electronic motion sensor, etc. In order to solve the problem of energy consumption caused by clothing with different characteristics, an identification method of energy consumption for different types of clothing was proposed.

Design/methodology/approach

The model robot was designed to reproduce the motion state by simulating the human body in the working mode, and the protective energy consumption test platform was built. In order to explore the influence of different characteristics of clothing on the energy consumption of equipment system, orthogonal experiments were carried out on the model robot experimental platform, and a mathematical model for predicting the energy consumption of clothing based on Tabu search algorithm to optimize support vector machine regression (TS-SVR) optimized by tabu algorithm was proposed.

Findings

Compared with three regression prediction algorithms, the accuracy of the model was quantified by the determination coefficient and root mean square error according to the predicted value of the model and the actual value of the experiment. The results showed that the model based on TS-SVM can predict the energy consumption of human body more accurately.

Originality/value

Based on TS-SVR model, it can well predict the relationship between clothing with different characteristics and physical energy consumption, and can accurately evaluate the clothing grade of different characteristics.

Details

International Journal of Clothing Science and Technology, vol. 34 no. 6
Type: Research Article
ISSN: 0955-6222

Keywords

Article
Publication date: 12 June 2017

Dalian Yang, Yilun Liu, Songbai Li, Jie Tao, Chi Liu and Jiuhuo Yi

The aim of this paper is to solve the problem of low accuracy of traditional fatigue crack growth (FCG) prediction methods.

Abstract

Purpose

The aim of this paper is to solve the problem of low accuracy of traditional fatigue crack growth (FCG) prediction methods.

Design/methodology/approach

The GMSVR model was proposed by combining the grey modeling (GM) and the support vector regression (SVR). Meanwhile, the GMSVR model parameter optimal selection method based on the artificial bee colony (ABC) algorithm was presented. The FCG prediction of 7075 aluminum alloy under different conditions were taken as the study objects, and the performance of the genetic algorithm, the particle swarm optimization algorithm, the n-fold cross validation and the ABC algorithm were compared and analyzed.

Findings

The results show that the speed of the ABC algorithm is the fastest and the accuracy of the ABC algorithm is the highest too. The prediction performances of the GM (1, 1) model, the SVR model and the GMSVR model were compared, the results show that the GMSVR model has the best prediction ability, it can improve the FCG prediction accuracy of 7075 aluminum alloy greatly.

Originality/value

A new prediction model is proposed for FCG combined the non-equidistant grey model and the SVR model. Aiming at the problem of the model parameters are difficult to select, the GMSVR model parameter optimization method based on the ABC algorithm was presented. the results show that the GMSVR model has better prediction ability, which increase the FCG prediction accuracy of 7075 aluminum alloy greatly.

Details

Engineering Computations, vol. 34 no. 4
Type: Research Article
ISSN: 0264-4401

Keywords

Article
Publication date: 27 April 2022

Sachin Kashyap

This paper aims to analyze and give directions for advancing research in stock market volatility highlighting its features, structural breaks and emerging developments. This study…

Abstract

Purpose

This paper aims to analyze and give directions for advancing research in stock market volatility highlighting its features, structural breaks and emerging developments. This study offers a platform to research the benchmark studies to know the research gap and give directions for extending future research.

Design/methodology/approach

The author has performed the literature review, and, reference checking as per the snowballing approach. Firstly, the author has started with outlining and simplifying the significance of the subject area, the review illustrating the various elements along with the research gaps and emphasizing the finding.

Findings

This work summarizes the studies covering the volatility, its properties and structural breaks on various aspects such as techniques applied, subareas and the markets. From the review’s analysis, no study has clarified the supremacy of any model because of the different market conditions, nature of data and methodological aspects. The outcome of this research work has delivered further magnitude to research the benchmark studies for the upcoming work on stock market volatility. This paper has also proposed the hybrid volatility models combining artificial intelligence with econometric techniques to detect noise, sudden changes and chaotic information easily.

Research limitations/implications

The author has taken the research papers from the scholarly journal published in the English language only and the author may also consider other nonscholarly or other language journals.

Originality/value

To the best of the author’s knowledge, this research work highlights an updated and more comprehensive framework examining the properties and demonstrating the contemporary developments in the field of stock market volatility.

Details

Journal of Modelling in Management, vol. 18 no. 3
Type: Research Article
ISSN: 1746-5664

Keywords

Article
Publication date: 18 April 2020

Yunjian Hu, Jie Sun, Wen Peng and Dianhua Zhang

In the cold rolling process, friction coefficient, oil film thickness and other factors vary dramatically with the change in the rolling speed, which seriously affects the strip…

Abstract

Purpose

In the cold rolling process, friction coefficient, oil film thickness and other factors vary dramatically with the change in the rolling speed, which seriously affects the strip thickness deviation. This paper aims to improve the strip control precision with the forecast roll gap model based on CF-PSO-SVM approach in the rolling process.

Design/methodology/approach

In this paper, a novel forecasting model of the roll gap based on support vector machine (SVM) optimized by particle swarm optimization with compression factor (CF-PSO) is proposed. Based on lots of online data, the roll gap models regressed by PSO-SVM, genetic algorithm (GA)-SVM and CF-PSO-SVM are obtained and verified through evaluating the performances with the decision coefficient (R2), mean absolute error and root mean square error. In addition, with the good forecasting performances of CF-PSO-SVM, a roll gap compensation model is studied.

Findings

The results indicate that the proposed CF-PSO-SVM has excellent learning regression ability compared with other optimization algorithms. Meanwhile, a roll gap compensation model based on the rolling speed and plastic coefficient is obtained, which has been proved validated in product.

Originality/value

In this paper, the SVM algorithm is combined with traditional rolling technology to solve the problems in actual production, which has great supporting significance for the improvement of production efficiency.

Details

Engineering Computations, vol. 38 no. 3
Type: Research Article
ISSN: 0264-4401

Keywords

Article
Publication date: 2 February 2022

Wenzhong Gao, Xingzong Huang, Mengya Lin, Jing Jia and Zhen Tian

The purpose of this paper is to target on designing a short-term load prediction framework that can accurately predict the cooling load of office buildings.

Abstract

Purpose

The purpose of this paper is to target on designing a short-term load prediction framework that can accurately predict the cooling load of office buildings.

Design/methodology/approach

A feature selection scheme and stacking ensemble model to fulfill cooling load prediction task was proposed. Firstly, the abnormal data were identified by the data density estimation algorithm. Secondly, the crucial input features were clarified from three aspects (i.e. historical load information, time information and meteorological information). Thirdly, the stacking ensemble model combined long short-term memory network and light gradient boosting machine was utilized to predict the cooling load. Finally, the proposed framework performances by predicting cooling load of office buildings were verified with indicators.

Findings

The identified input features can improve the prediction performance. The prediction accuracy of the proposed model is preferable to the existing ones. The stacking ensemble model is robust to weather forecasting errors.

Originality/value

The stacking ensemble model was used to fulfill cooling load prediction task which can overcome the shortcomings of deep learning models. The input features of the model, which are less focused on in most studies, are taken as an important step in this paper.

Details

Engineering Computations, vol. 39 no. 5
Type: Research Article
ISSN: 0264-4401

Keywords

Article
Publication date: 12 July 2023

Zhifeng Lin, Wei Zhang, Jiawei Li, Jing Yang, Bing Han and Peng Xie

As a common form of failure in industry, corrosion causes huge economic losses. At present, with the development of computational techniques, artificial intelligence (AI) is…

Abstract

Purpose

As a common form of failure in industry, corrosion causes huge economic losses. At present, with the development of computational techniques, artificial intelligence (AI) is playing a more and more important role in the field of scientific research. This paper aims to review the application of AI in corrosion protection research.

Design/methodology/approach

In this paper, the role of AI in corrosion protection is systematically described in terms of anticorrosion materials and methods, corrosion image recognition and corrosion life prediction.

Findings

With efficient and in-depth data processing methods, AI can rapidly advance the research process in terms of anticorrosion materials and methods, corrosion image recognition and corrosion life prediction and save on costs.

Originality/value

This paper summarizes the application of AI in corrosion protection research and provides the basis for corrosion engineers to quickly and comprehensively understand the role of AI and improve production processes.

Details

Anti-Corrosion Methods and Materials, vol. 70 no. 5
Type: Research Article
ISSN: 0003-5599

Keywords

Article
Publication date: 21 November 2023

Armin Mahmoodi, Leila Hashemi and Milad Jasemi

In this study, the central objective is to foresee stock market signals with the use of a proper structure to achieve the highest accuracy possible. For this purpose, three hybrid…

Abstract

Purpose

In this study, the central objective is to foresee stock market signals with the use of a proper structure to achieve the highest accuracy possible. For this purpose, three hybrid models have been developed for the stock markets which are a combination of support vector machine (SVM) with meta-heuristic algorithms of particle swarm optimization (PSO), imperialist competition algorithm (ICA) and genetic algorithm (GA).All the analyses are technical and are based on the Japanese candlestick model.

Design/methodology/approach

Further as per the results achieved, the most suitable algorithm is chosen to anticipate sell and buy signals. Moreover, the authors have compared the results of the designed model validations in this study with basic models in three articles conducted in the past years. Therefore, SVM is examined by PSO. It is used as a classification agent to search the problem-solving space precisely and at a faster pace. With regards to the second model, SVM and ICA are tested to stock market timing, in a way that ICA is used as an optimization agent for the SVM parameters. At last, in the third model, SVM and GA are studied, where GA acts as an optimizer and feature selection agent.

Findings

As per the results, it is observed that all new models can predict accurately for only 6 days; however, in comparison with the confusion matrix results, it is observed that the SVM-GA and SVM-ICA models have correctly predicted more sell signals, and the SCM-PSO model has correctly predicted more buy signals. However, SVM-ICA has shown better performance than other models considering executing the implemented models.

Research limitations/implications

In this study, the data for stock market of the years 2013–2021 were analyzed; the long length of timeframe makes the input data analysis challenging as they must be moderated with respect to the conditions where they have been changed.

Originality/value

In this study, two methods have been developed in a candlestick model; they are raw-based and signal-based approaches in which the hit rate is determined by the percentage of correct evaluations of the stock market for a 16-day period.

Details

EuroMed Journal of Business, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1450-2194

Keywords

Article
Publication date: 30 October 2023

Qiangqiang Zhai, Zhao Liu, Zhouzhou Song and Ping Zhu

Kriging surrogate model has demonstrated a powerful ability to be applied to a variety of engineering challenges by emulating time-consuming simulations. However, when it comes to…

Abstract

Purpose

Kriging surrogate model has demonstrated a powerful ability to be applied to a variety of engineering challenges by emulating time-consuming simulations. However, when it comes to problems with high-dimensional input variables, it may be difficult to obtain a model with high accuracy and efficiency due to the curse of dimensionality. To meet this challenge, an improved high-dimensional Kriging modeling method based on maximal information coefficient (MIC) is developed in this work.

Design/methodology/approach

The hyperparameter domain is first derived and the dataset of hyperparameter and likelihood function is collected by Latin Hypercube Sampling. MIC values are innovatively calculated from the dataset and used as prior knowledge for optimizing hyperparameters. Then, an auxiliary parameter is introduced to establish the relationship between MIC values and hyperparameters. Next, the hyperparameters are obtained by transforming the optimized auxiliary parameter. Finally, to further improve the modeling accuracy, a novel local optimization step is performed to discover more suitable hyperparameters.

Findings

The proposed method is then applied to five representative mathematical functions with dimensions ranging from 20 to 100 and an engineering case with 30 design variables.

Originality/value

The results show that the proposed high-dimensional Kriging modeling method can obtain more accurate results than the other three methods, and it has an acceptable modeling efficiency. Moreover, the proposed method is also suitable for high-dimensional problems with limited sample points.

Details

Engineering Computations, vol. 40 no. 9/10
Type: Research Article
ISSN: 0264-4401

Keywords

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