Forecasting Ability Research Articles

Rethinking the Role of Teams and Training in Geopolitical Forecasting: The Effect of Uncontrolled Method Variance on Statistical Conclusions.

Using data from a geopolitical forecasting tournament, Mellers et al. (2014) [Psychological strategies for winning a geopolitical forecasting tournament. Psychological Science, 25, 1106-1115] concluded that forecasting ability was improved by allowing participants to work in teams and providing them with probability training. Here, we reevaluated Mellers et al.'s conclusions using an item response theory framework that models latent ability from forecasting choices. We found that the relationship between latent ability estimates and forecast accuracy differed from the interpretation of the original findings once key extraneous variables were statistically controlled. The best fit models across the first 2 years of the tournament included one or more extraneous variables that substantially eliminated, reduced, and, in some cases, even reversed the effects of the experimental manipulations of teaming and training on latent forecasting ability. We also show that latent traits associated with strategic responding can discriminate between superforecasters and non-superforecasters, making it difficult to identify the latent factors that underlie the superforecasters' superior performance.

Stock market volatility predictability: new evidence from energy consumption

This research develops a group of novel indicators from the energy consumption perspective and assesses their ability to forecast stock market volatility using various techniques. Empirical evidence reveals that novel indicators, notably industrial non-renewable energy consumption, significantly enhance the forecasting of stock market volatility. The MIDAS-LASSO model, which integrates a mixed-data sampling method, effectively captures key information and outperforms other models in predictive accuracy. Further analysis reveals that the novel indicators contain useful forecasting information over the business cycle and crisis periods. Additionally, we indicate the forecasting ability of the novel indicators from the standpoint of investor sentiment variation. Our findings yield useful insights for the forecasting of stock market volatility, emphasizing the significant role of energy consumption.

Research on Urban Traffic Flows Prediction Model Based on Deep Learning

Abstract. Vehicle accumulation in urban regions is a significant complication, giving rise to monetary and sustainability-related concerns. The most important procedure for effective traffic management is the precise forecasting of traffic flow. This study leverages Long Short-Term Memory (LSTM) networks to predict traffic volume on Interstate-94 (I-94) in the US, using hourly traffic and weather data from 2012 to 2018, which was normalized using Min-Max scaling, and the LSTM model was trained on 80% of the data, with the remaining 20% used for testing. Evaluation of the model was conducted using performance indicators such as Mean Absolute Error (MAE) and Root Mean Square Error (RMSE). Showing its strong forecasting ability, evidenced by its low MAE and RMSE, which highlight the model's high accuracy, and forecast the traffic flow under varying conditions. This study highlights the effectiveness of LSTM networks for traffic prediction, offering a significant tool for the management of the metropolitan areas. Upcoming studies might prioritize on real-time implementation and integrating additional data sources to further enhance prediction accuracy.

Research on Urban Traffic Flows Prediction Model Based on Deep Learning

Abstract. Vehicle accumulation in urban regions is a significant complication, giving rise to monetary and sustainability-related concerns. The most important procedure for effective traffic management is the precise forecasting of traffic flow. This study leverages Long Short-Term Memory (LSTM) networks to predict traffic volume on Interstate-94 (I-94) in the US, using hourly traffic and weather data from 2012 to 2018, which was normalized using Min-Max scaling, and the LSTM model was trained on 80% of the data, with the remaining 20% used for testing. Evaluation of the model was conducted using performance indicators such as Mean Absolute Error (MAE) and Root Mean Square Error (RMSE). Showing its strong forecasting ability, evidenced by its low MAE and RMSE, which highlight the model's high accuracy, and forecast the traffic flow under varying conditions. This study highlights the effectiveness of LSTM networks for traffic prediction, offering a significant tool for the management of the metropolitan areas. Upcoming studies might prioritize on real-time implementation and integrating additional data sources to further enhance prediction accuracy.

Forecasting exchange rate volatility: An amalgamation approach

The importance of exchange rate volatility forecasting has both practical and academic merit. Our aim is to provide a comprehensive analysis of the forecasting ability of financial and macroeconomics variables for future exchange rate volatility. We employ seven widely traded currencies against the US dollar and examine linear models and a variety of machine learning, dimensionality reduction and forecast combination approaches, along with creating a grand forecast (amalgamation approach) from these approaches. Our findings highlight the predictive power of the amalgamation approach, as well as the positive contribution of macroeconomic and financial variables in the forecasting experiment. Furthermore, we generate forecasts on the separate frequencies of volatility using wavelet analysis, in order to extract frequency-related information and examine timing effects in the performance of the methods.

Forecasting the Aggregate Market Volatility by Boosted Neural Networks

Prior work provides conflicting evidence on whether macro-finance variables can be used to improve predictability of aggregate volatility relative to the naïve benchmark. This paper contributes to this literature by introducing boosted neural networks as a novel statistical approach that learns from its errors and incorporates nonlinearity. This technique is utilized to reexamine the forecasting ability of macro-finance variables for market volatility. The findings show that out of sample predictability is significantly better when the proposed method is used, relative to the alternative approaches used in the literature, including the naïve benchmark, regardless of the state of the economy.

Forecasting U.S. Stock Returns Conditional on Geopolitical Risk and Business Cycles

Using standard predictors in the forecasting literature, we forecast the U.S. stock market returns conditional on geopolitical risk and business cycles over the 1927–2021 period. We find that out-of-sample forecasting performance is significantly better in times of high geopolitical risk versus low geopolitical risk. Consistent with previous research, we find further evidence of improved return predictability in recessions. However, we find little difference in forecasting performance in recessions versus expansions once the level of geopolitical risk is controlled for. We find similar results when using stock market cycles and periods of positive/negative industrial production growth in place of recessions/expansions. Our study contributes to the forecasting literature by documenting that geopolitical risk by itself and in combination with business cycle indicators impacts the forecasting ability of standard forecasting variables in the literature. We also contribute to the literature on the adaptive markets hypothesis with evidence of time-varying return predictability. We find inconclusive evidence as to whether our results are based on time-varying predictability or time-varying risk.

Monthly rainfall prediction for different climatic zones in south Africa for 2024 using a random forest model

This study predicted 2024 rainfall in different climatic zones in South Africa using a random forest model. Previous studies have shown that random forests performed better than other models for rainfall prediction. South Africa was divided into nine using the Koppen-Geiger climate classification system, and three cities were selected for each climatic zone. Atmospheric datasets from the South African Weather Service and the National Aeronautics and Space Agency were used for this study. The datasets were trained, tested, and validated to assess the model's accuracy. With good forecast ability observed, the random forest was then used for monthly rainfall for 2024. The result of this prediction was then compared with 2022 and 2023 rainfall. The result indicated months where much rain should be expected in various cities and cities that may likely experience droughts. This result is particularly important for agriculture, water resource management, and early drought/flooding warning systems.

PREDIKSI PENJUALAN MELALUI METODE WEIGHTED MOVING AVERAGE (WMA) PADA UMKM “Nasi Bakar”

This study aims to find out the results of sales forecasting calculations using the Weight Moving Average method in Nurochmah Nasi Bakar MSMEs from April 2023 to July 2024. In addition, to determine the accuracy of forecast errors in sales forecasting calculations and the application of the Weighted Moving Average (WMA) method in predicting sales to Nurochmah MSMEs. The research method used is descriptive quantitative using historical sales data from January 2023 to July 2024, to predict sales using the WMA method at Nasi Bakar Nurochmah MSMEs from April 2023 to July 2024 using Production and Operations Management-Quality Control (POM-QM) software. The results of the calculation of sales forecasting using the WMA method on Nurochmah grilled rice MSMEs for April 2023 to July 2024 fluctuated as follows: December was 768.4 packs, a decrease of 4.547% from the actual 805 packs. January was 772.7 packs, a decrease of 0.553% from the actual 777 packs, February was 781.4 packs, an increase of 5.31% from the actual 742 packs. The accuracy of forecast error in calculating sales forecasting using the WMA method from April 2023 to July 2024 obtained an accuracy value of < 10% measured using the Mean Absolute Percent Error (MAPE). The average MAPE is 1.983%, it can be said that the forecasting ability of this method is very accurate. This shows that the WMA method can be applied to Nurochmah grilled rice MSMEs, so that it can help control sales volume, as well as as a basis for decision-making and planning sales targets for the next period.

Data Monetization Service Development Using Iterative Lifecycle Framework, Quality Assurance, and Open Web Application Security Project: A Case Study of a Utility Company in Indonesia

The research aims to provide Data Monetization (DM) services for an Indonesian utility company as a pilot to generate additional revenue beyond the primary operation. The service is built using an iterative development lifecycle framework and evaluated based on five Quality Goals (QGs), including application and security testing activities. The framework includes methods for processing and modeling electricity usage data, testing application quality, checking infrastructure quality, and ensuring access security for front-end and back-end applications using the Open Web Application Security Project (OWASP). For data modeling, Support Vector Regression (SVR) is used, and it outperforms Polynomial Regression (PR) and Multi-Layer Perception (MLP) Neural Networks. Furthermore, QG shows strong performance with an Relative Root Mean Squared Error (RRMSE) value < 10%, high forecasting ability with Mean Average Probability Error (MAPE) < 10%, and a near-zero average error rate (Mean Squared Error (MSE)) square using minimal data from four months. The services go through functional and integration test to ensure product quality and application performance, which results in a minimum of 95% service response in throughput, 0.128 seconds for processing 2,000 requests, stability at 300–500 in one second per hour, and 7–21 seconds during peak hours. Additionally, the service passes nine penetration tests and ten vulnerability assessments using the OWASP top 10:2021 category. Based on the comprehensive testing and evaluation results, both the application and the service are considered ready and secured for deployment.

Deep learning method for predicting weekly anatomical changes in patients with nasopharyngeal carcinoma during radiotherapy.

Patients may undergo anatomical changes during radiotherapy, leading to an underdosing of the target or overdosing of the organs at risk (OARs). This study developed a deep-learning method to predict the tumor response of patients with nasopharyngeal carcinoma (NPC) during treatment. This method can predict the anatomical changes of a patient. The participants included 230 patients with NPC. The data included planning computed tomography (pCT) and routine cone-beam CT (CBCT) images. The CBCT image quality was improved to the CT level using an advanced method. A long short-term memory network-generative adversarial network (LSTM-GAN) is proposed, which can harness the forecasting ability of LSTM and the generation ability of GAN. Four models were trained to predict the anatomical changes that occurred in weeks 3-6 and named LSTM-GAN-week 3 to LSTM-GAN-week 6. The pCT and CBCT were used as input, and the tumor target volumes (TVs) and OARs were delineated on the predicted and real images (ground truth). Finally, the models were evaluated using contours and dosimetry parameters. The proposed method predicted the anatomical changes, with a dice similarity coefficient above 0.94 and 0.90 for the TVs and surrounding OARs, respectively. The dosimetry parameters were close between the prediction and ground truth. The deviations in the prescription, minimum, and maximum doses of the tumor targets were below 0.5Gy. For serial organs (brain stem and spinal cord), the deviations in the maximum dose were below 0.6Gy. For parallel organs (bilateral parotid glands), the deviations in the mean dose were below 0.8Gy. The proposed method can predict the tumor response to radiotherapy in the future such that adaptation can be scheduled on time. This study provides a proactive mechanism for planning adaptation, which can enable personalized treatment and save clinical time by anticipating and preparing for treatment strategy adjustments.

Bayesian ex Post Evaluation of Recursive Multi-Step-Ahead Density Prediction

This research is focused on a formal Bayesian method of recursive multi-step-ahead density prediction and its ex post evaluation. Our approach remains within the framework of the standard (classical or orthodox) Bayesian paradigm based on the Bayes factor and on the use of the likelihood-based update. We propose a new decomposition of the predictive Bayes factor into the product of partial Bayes factors, for both a finite number of consecutive k-step-ahead forecasts (where k>1) and the recursive updates of the posterior odds ratios based on updated data sets. The first factor in the decomposition is related to the relative k-step-ahead forecasting ability of models, while the second one measures the updating effect. To illustrate the usefulness of the proposed measures, we apply the new decomposed predictive Bayes factors to compare the forecasting ability of models when the true data generating process (DGP) is known, using simulated data sets. Taking into account the effect of updating, the posterior odds ratios leads to the conclusion that the best model coincides with the true DGP. However, the highest k-step-ahead forecasting ability (considered alone) can be achieved by some other, less adequate models. Next, we investigate the predictive ability of different Vector Error Correction (VEC) models with conditional heteroscedasticity, combining three macroeconomic variables: unemployment, inflation and interest rates, separately for the US and Polish economies. The results show that the inference about the models’ predictive performance depends on the forecast horizon as well as on taking into account the updating effect.

A novel pathloss prediction and optimization approach using deep learning in millimeter wave communication systems

Millimeter wave communication systems design requires accurate pathloss prediction as well as optimization. Traditional pathloss models gives less accuracy therefore pathloss models using deep learning is alternative solution for traditional method. These methods overcome the time consuming pathloss prediction parameter prediction based on large dataset which is available for different frequencies. In this proposed work, for prediction of pathloss, Convolutional Neural Network (CNN) and for optimization of pathloss Particle Swarm Optimization (PSO) is proposed. Towards implementation of the same, outdoor scenario with two roads and one cross section is used and dataset is generated using DeepMIMO generic dataset. The simulation result shows that using optimization technique reduces pathloss and CNN give accurate prediction of 95.7 %. Furthermore, root mean square error value of 6.6 dB has been achieve which is less in comparison to alternative approaches designed for outdoor environments. The forthcoming development of multifrequency path loss models has sparked significant interest due to their forecasting ability to support higher frequency bands and address blockage scenarios within future wireless networks.

Improving the explainability of autoencoder factors for commodities through forecast-based Shapley values

Autoencoders are dimension reduction models in the field of machine learning which can be thought of as a neural network counterpart of principal components analysis (PCA). Due to their flexibility and good performance, autoencoders have been recently used for estimating nonlinear factor models in finance. The main weakness of autoencoders is that the results are less explainable than those obtained with the PCA. In this paper, we propose the adoption of the Shapley value to improve the explainability of autoencoders in the context of nonlinear factor models. In particular, we measure the relevance of nonlinear latent factors using a forecast-based Shapley value approach that measures each latent factor’s contributions in determining the out-of-sample accuracy in factor-augmented models. Considering the interesting empirical instance of the commodity market, we identify the most relevant latent factors for each commodity based on their out-of-sample forecasting ability.

Performance assessment of indicators of a multi-hazards early warning system in an urban mountain region

The urban basins in the mountainous Andean regions are exposed to rapid and poorly planned urbanization processes, causing drastic changes in the landscape, climate, and hydrology. These factors have led to an intensification in the frequency of floods, landslides, falling trees, and droughts, among many other disasters. Therefore, the city of Manizales has implemented an Early Warning System (EWS) to address emergencies and prevent deaths and damage from some of these disasters. However, these hazards can occur simultaneously, further complicating emergency response efforts and requiring the EWS to address multiple hazards; therefore, it has become the Multi-Hazards Early Warning System (MHEWS), which requires indicators and thresholds to generate alerts within sufficient time. The MHEWS implemented in Manizales addresses initially the hazards of floods and landslides, using indicators and thresholds related to recent rainfall and river levels. This article evaluates these proposed indicators by assessing their forecasting capability, effectiveness, and efficiency in increasing warning times, the alarm duration compared to the event duration, and their forecasting ability based on the location of rainfall triggering floods, landslides and other hazards identify. The analyzed indicators focus on hazards and do not consider exposure or vulnerability in communities. The results indicate that a single hazard indicator is not enough, and including multiple indicators based on complementary sources of information improves the performance of MHEWS in addressing emergencies caused by rain.

Daily Runoff Prediction Based on FA-LSTM Model

Accurate and reliable short-term runoff prediction plays a pivotal role in water resource management, agriculture, and flood control, enabling decision-makers to implement timely and effective measures to enhance water use efficiency and minimize losses. To further enhance the accuracy of runoff prediction, this study proposes a FA-LSTM model that integrates the Firefly algorithm (FA) with the long short-term memory neural network (LSTM). The research focuses on historical daily runoff data from the Dahuangjiangkou and Wuzhou Hydrology Stations in the Xijiang River Basin. The FA-LSTM model is compared with RNN, LSTM, GRU, SVM, and RF models. The FA-LSTM model was used to carry out the generalization experiment in Qianjiang, Wuxuan, and Guigang hydrology stations. Additionally, the study analyzes the performance of the FA-LSTM model across different forecasting horizons (1–5 days). Four quantitative evaluation metrics—mean absolute error (MAE), root mean square error (RMSE), coefficient of determination (R2), and Kling–Gupta efficiency coefficient (KGE)—are utilized in the evaluation process. The results indicate that: (1) Compared to RNN, LSTM, GRU, SVM, and RF models, the FA-LSTM model exhibits the best prediction performance, with daily runoff prediction determination coefficients (R2) reaching as high as 0.966 and 0.971 at the Dahuangjiangkou and Wuzhou Stations, respectively, and the KGE is as high as 0.965 and 0.960, respectively. (2) FA-LSTM model was used to conduct generalization tests at Qianjiang, Wuxuan and Guigang hydrology stations, and its R2 and KGE are 0.96 or above, indicating that the model has good adaptability in different hydrology stations and strong robustness. (3) As the prediction period extends, the R2 and KGE of the FA-LSTM model show a decreasing trend, but the whole model still showed feasible forecasting ability. The FA-LSTM model introduced in this study presents an effective new approach for daily runoff prediction.

A conditional latent autoregressive recurrent model for generation and forecasting of beam dynamics in particle accelerators

Particle accelerators are complex systems that focus, guide, and accelerate intense charged particle beams to high energy. Beam diagnostics present a challenging problem due to limited non-destructive measurements, computationally demanding simulations, and inherent uncertainties in the system. We propose a two-step unsupervised deep learning framework named as Conditional Latent Autoregressive Recurrent Model (CLARM) for learning the spatiotemporal dynamics of charged particles in accelerators. CLARM consists of a Conditional Variational Autoencoder transforming six-dimensional phase space into a lower-dimensional latent distribution and a Long Short-Term Memory network capturing temporal dynamics in an autoregressive manner. The CLARM can generate projections at various accelerator modules by sampling and decoding the latent space representation. The model also forecasts future states (downstream locations) of charged particles from past states (upstream locations). The results demonstrate that the generative and forecasting ability of the proposed approach is promising when tested against a variety of evaluation metrics.

Forecasting rheumatoid arthritis patient arrivals by including meteorological factors and air pollutants

The burden of rheumatoid arthritis (RA) has gradually elevated, increasing the need for medical resource redistribution. Forecasting RA patient arrivals can be helpful in managing medical resources. However, no relevant studies have been conducted yet. This study aims to construct a long short-term memory (LSTM) model, a deep learning model recently developed for novel data processing, to forecast RA patient arrivals considering meteorological factors and air pollutants and compares this model with traditional methods. Data on RA patients, meteorological factors and air pollutants from 2015 to 2022 were collected and normalized to construct moving average (MA)- and autoregressive (AR)-based and LSTM models. After data normalization, the root mean square error (RMSE) was adopted to evaluate models’ forecast ability. A total of 2422 individuals were enrolled. Not using the environmental data, the RMSEs of the MA- and AR-based models’ test sets are 0.131, 0.132, and 0.117 when the training set: test set ratio is 2:1, 3:1, and 7:1, while they are 0.110, 0.130, and 0.112 for the univariate LSTM models. Considering meteorological factors and air pollutants, the RMSEs of the MA- and AR-based model test sets were 0.142, 0.303, and 0.164 when the training set: test set ratio is 2:1, 3:1, and 7:1, while they were 0.108, 0.119, and 0.109 for the multivariable LSTM models. Our study demonstrated that LSTM models can forecast RA patient arrivals more accurately than MA- and AR-based models for datasets of all three sizes. Considering the meteorological factors and air pollutants can further improve the forecasting ability of the LSTM models. This novel method provides valuable information for medical management, the optimization of medical resource redistribution, and the alleviation of resource shortages.

Precipitation nowcasting method based on Spatial-Temporal Dual Discriminators

Abstract The prediction of radar echo sequence images is a spatiotemporal sequence forecasting problem, which is one of the main challenges in precipitation nowcasting. Addressing issues such as poor extraction of spatiotemporal features by previous models and blurry image sequence predictions, this study proposes a Spatial-Temporal dual Discriminator Precipitation Nowcasting Model (STD-SNGAN) based on spectral normalization generative adversarial networks (SNGAN). The model utilizes multi-scale convolution modules (Inception) to extract spatial features from radar echo images and convolutional gated recurrent units (ConvGRU) to extract temporal features between feature maps. By introducing a hidden feature sampler to enhance the extraction capability of the convolutional gated recurrent units and designing spatial-temporal dual discriminators to constrain the generator’s predicted samples, the spatiotemporal forecasting ability is enhanced. Experimental results demonstrate that the proposed STD-SNGAN model outperforms other algorithms in critical success index (CSI) and probability of detection (POD) for high echo intensity and long-term regions.

Does Machine Learning Forecast Investor’s Risk Appetite?

Risk appetite is an important indicator that is monitored with interest by financial market participants. One of the risk appetite indices is nominated “RISE risk appetite index” calculated to measure the riskiness of the Turkey market in general. There are very limited studies in the literature on RISE risk appetite, and most of them use simple econometric methods to predict the risk appetite. To the best of our knowledge, there is no study using machine learning algorithms. Therefore, it creates curiosity on how the success will be in estimating the risk appetite using machine learning algorithms. Thus, the aim of this paper is to measure the estimation success of the RISE index using Long Short-term Memory (LSTM) and Multi-Layer Perceptron (MLP). The analysis is based on a weekly frequency dataset covering the years 2008 to 2023. The results are compared as per RMSE values, and LSTM presents rather high prediction success compared to MLP. Due to the forecasting ability of BIST 100 index on RISE, the current and lagged values of BIST 100 are compared, and lagged values of BIST 100 are found to have a higher ability to estimate RISE, approximately twice as much as current values. It is expected that this valuable finding will be a guide for market participants and financial analysts to shape their investment preferences by using deep learning algorithms in predicting market expectations and to make well-directed investments.