Historical Price Research Articles

Fuzzified input data tuning for agriculture commodities price prediction

<span lang="EN-US">The quality of the input data will typically affect the prediction accuracy. Preprocessing of data is commonly referred to as input data tuning. Tuning the input data is critical for projecting commodity prices. Anomalies or outliers are unavoidable in historical price data. To increase prediction and forecasting accuracy, it is necessary to find and correct outliers before training the prediction model. To correct the anomaly and increase prediction accuracy, the Fuzzified Input Data Tuning and Prediction algorithm proposed in this study. The identified outliers are corrected using the relevant fuzzy set value in this method. With outlier corrected data, we used Long Short-Term Memory and Seasonal Autoregressive Integrated Moving Average to anticipate tomato prices in Karnataka state. The result of the proposed algorithm is compared with the Sliding Window anomalies correction model, and without disposing of the outliers. The suggested algorithm, with 37.89%, performed better than Sliding Window with 40.08% and 43.11% Mean Absolute Percentage Error, respectively, and without outlier correction. The sensitivity analysis shows that the performance of the model is unaffected by the forecasting horizon. Finally, comparitive analysis peformed with previous research work, and the proposed model performed better.</span>

Framework for multivariate carbon price forecasting: A novel hybrid model

The complex characteristics of volatility and non-linearity of carbon price pose a serious challenge to accurately predict carbon price. Therefore, this study proposes a new hybrid model for multivariate carbon price forecasting, including feature selection, deep learning, intelligent optimization algorithms, model combination and evaluation indicators. First, this study collects and organizes the historical carbon price series of Hubei and Shanghai as well as the influencing factors in five dimensions including structured and unstructured data, totaling twenty variables. Second, data dimensionality reduction is performed and input variables are obtained using the least absolute shrinkage and selection operator, followed by the introduction of nine advanced deep learning models to predict carbon price and compare the prediction effects. Then, through the combination of models, three models with the best performance are combined with Pelican optimization algorithm to construct a hybrid forecasting model. Finally, the experimental results show that the developed forecasting model outperforms other comparation models in terms of prediction accuracy, stability and statistical hypothesis testing, and exhibits excellent prediction performance. Furthermore, this study also applies the developed model to European carbon market price prediction and uses the Hubei carbon market as an example for quantitative trading simulation, and the empirical results further verify its robust prediction performance and investment application value. In conclusion, the proposed hybrid prediction model can not only provide high-precision carbon market price prediction for the government and corporate decision makers, but also help investors optimize their trading strategies and improve their returns.

CRYPTOCURRENCY PRICE PREDICTION USING LSTM

Cryptocurrency, a digital form of currency, has emerged as a prominent asset class with unique characteristics such as decentralization, security, and global accessibility. As the adoption of cryptocurrencies continues to grow, the need for accurate price prediction using machine learning (ML) algorithms becomes crucial for various stakeholders in the financial ecosystem. This paper presents a comprehensive approach to cryptocurrency price prediction, focusing on the following key aspects: The data for this study is collected from the Binance platform, a leading cryptocurrency exchange known for its extensive market data and liquidity. The dataset includes historical price data across different time frames, including 1-hour, 4-hour, and daily intervals. Prior to analysis, the collected data undergoes thorough preprocessing steps to ensure data quality and consistency. This process includes handling missing values, removing outliers, and standardizing data formats for further analysis. Long Short-Term machine learning model algorithm is employed for price prediction. This model is chosen for its ability to capture complex patterns and dynamics in cryptocurrency price movements. The prediction phase involves training and testing the ML model using the preprocessed data. Performance evaluation metrics such as R-squared, Root Mean Squared Error (RMSE), Mean Absolute Error (MAE), and Mean absolute percentage error (MAPE) are utilized to assess the accuracy and robustness of the prediction model across different time frames. Accurate cryptocurrency price prediction is essential for various stakeholders, including investors, traders, businesses, and regulators. It facilitates informed decision- making, risk management, market analysis, trading strategy development, business planning, and regulatory compliance in the dynamic cryptocurrency market. By addressing these key elements, this study aims to contribute to the advancement of cryptocurrency price prediction methodologies using ML techniques, thereby enhancing decision-making processes and fostering a more efficient and transparent digital asset market ecosystem.

An efficient hybrid approach for forecasting real-time stock market indices

The stock market’s volatility, noise, and information overload necessitate efficient prediction methods. Forecasting index prices in this environment is complex due to the non-linear and non-stationary nature of time series data generated from the stock market. Machine learning and deep learning have emerged as powerful tools for identifying financial data patterns and generating predictions based on historical trends. However, updating these models in real-time is crucial for accurate predictions. Deep learning models require extensive computational resources and careful hyperparameter optimization, while incremental learning models struggle to balance stability and adaptability. This paper proposes a novel hybrid bidirectional-LSTM (H.BLSTM) model that combines incremental learning and deep learning techniques for real-time index price prediction, addressing these scalability and memory challenges. The method utilizes both univariate time series derived from historical index prices and multivariate time series incorporating technical indicators. Implementation within a real-time trading system demonstrates the method’s effectiveness in achieving more accurate price forecasts for major stock indices globally through extensive experimentation. The proposed model achieved an average mean absolute percentage error of 0.001 across nine stock indices, significantly outperforming traditional models. It has an average forecasting delay of 2 s, making it suitable for real-time trading applications.

Enhancing Multi-step Brent Oil Price Forecasting with Ensemble Multi-scenario Bi-GRU Networks

Accurate crude oil price forecasting is crucial for economic stability, investment planning, and strategic decision-making across various industries. Despite numerous research efforts in applying deep learning to time-series forecasting, achieving high accuracy in multi-step predictions for volatile time-series like crude oil prices remains a significant challenge. Moreover, most existing approaches primarily focus on one-step forecasting, and the performance often varies depending on the dataset and specific case study. This paper introduces ensemble-based deep-learning models to capture Brent oil price volatility and enhance the multi-step price prediction. Our methodology employs a two-pronged approach. First, we present an empirical comparison of deep-learning models and architectures, including RNNs, CNNs, and transformers, for forecasting Brent oil prices. We also examine the impact of various external factors on forecasting accuracy. Then, we introduce a novel approach that employs ensemble GRU-based models to enhance prediction accuracy across multiple forecasting scenarios. Extensive experiments were conducted using a dataset of historical Brent prices encompassing the COVID-19 pandemic, which significantly impacted energy markets. The results demonstrate that the proposed model outperforms benchmark and established models, achieving a 9.3% reduction in MSE compared to the closest benchmark model for a 3-day forecasting horizon.

A historical Llewellyn Ivor Price fossil fish collection from the Middle to Late Miocene of the Brazilian Amazon

Brazilian Miocene fluvial and lacustrine deposits are mainly found in the southwestern Amazon basin in the state of Acre, where fossiliferous sections from the Middle to Late Miocene of the Solimões Formation (Fm.) emerge in riverbanks during the dry season and low river-water level periods. The Solimões Fm. is notable for its high fossil vertebrate diversity (Myliobatiformes, Siluriformes, Ceratodontiformes, Osteoglossiformes, Characiformes, Acregoliathidae, Squamata, Crocodilia, Testudines, Suliformes, Rodentia, Notoungulata, Litopterna, Astrapotheria, Proboscidea, Didelphimorphia, Pilosa, Sirenia, Cetacea, Primates, Chiroptera, and Artiodactyla) deposited in the paleo-Amazon context. This fossiliferous faunal assemblage reflects the major geological and paleoclimatic Miocene/Pliocene transition events that triggered the greatest extinction of megafauna and other groups of animals in the Paleo-Amazon and, alongside the establishment of the largest Amazon transcontinental river in South America, led to species turnover and the diversity explosion to current levels. Paleontological expeditions carried out between 1950s and 1970s at Solimões Fm. outcrops along the Acre and Upper Juruá rivers allowed the recovery of an extraordinary vertebrate paleontological collection, albeit published in fragmentary contributions. Despite supporting the largest continental fish fauna, comprising ca. 2400 valid extant species, the Amazon hydrographic system harbors a still poorly known fossil ichthyofauna. This study describes a fossil fish assemblage from the Solimões Fm. for the first time based on high accuracy data acquired by improved microCT techniques, computerized systems, and examinations of the best recent and fossil fish collections. This fish assemblage is employed to elucidate ancestral Amazonian fauna paleodiversity and paleoenvironmental context interpretations and explore the elements that led to coeval paleo-ichthyofauna from the northwestern paleo-Amazon region. Miocene species Phractocephalus (†P. acreornatus and †P. nassi) are proposed as fossil guides.

Sectoral recommendation system for medium term investment using technical indicators

Stocks of different companies are generally categorized into various industrial sectors based on the domain they operate. Individual stock prices are much more difficult to predict, and an investment bears a significant risk of unanticipated failure while thematic investment allows diversification within a sector and hence avoids the risk of failure of a single stock. In thematic investment, a user identifies one or more industrial sectors based on thematic preference and then distributes the corpus among various stocks from those sectors. If sectors are chosen wisely then it is possible to have a positive return even with the sudden downfall of some stock. To identify the sectors that will yield a positive return in the medium term, we have selected ten technical indicators (TI), and designed backpropagation neural networks (BPNN) with scaled conjugate gradient learning. We have evaluated the BPNN models with 12 sectoral index price history from NSE and achieved a comparable accuracy of 81.05% in prediction. In the next step, we have predicted sectoral index movement for one month to six months in the future, and based on the predicted gains we ranked the sectors. Based on the given investment horizon, top-k(=4) sectors are recommended to an investor. We validated our strategy on NSE sectoral data and achieved a recommendation accuracy of 87.5%.

LSTM-Based Gasoline Price Prediction - An Example of Gasoline 95# in Beijing

Gasoline, as one of the indispensable energy sources in the global economy, the stability of its price has an important impact on national energy security and economic development. This study aims to improve the accuracy of gasoline price prediction through the use of Long Short-Term Memory Network (LSTM). By collecting and analyzing the historical price data of No. 95 gasoline in Beijing, the author constructed a prediction model based on LSTM, which is particularly suitable for dealing with long-term dependence in time series data. By comparing their performance to the traditional Recurrent Neural Networks (RNN) and Convolutional Neural Networks (CNN), LSTM demonstrates its advantages in processing complicated time series data. The validity of the model is verified by several evaluation metrics, including mean square error (MSE), root mean square error (RMSE), mean absolute error (MAE), and mean absolute percentage error (MAPE). The results of the study indicate that the LSTM model shows high accuracy and reliability in predicting gasoline prices. In addition, future work will explore the introduction of multivariate analysis and hybrid network models to further the accuracy of the predictions and its generalization ability.

Comparison of Linear Regression and LSTM (Long Short-Term Memory) in Cryptocurrency Prediction

Abstract Cryptocurrency, particularly Bitcoin, has become a major topic in the financial and digital trading sectors due to its ability to facilitate direct transactions without intermediaries and the transparency offered by blockchain technology. However, the high volatility of Bitcoin prices necessitates accurate prediction methods to support better investment decisions. This research aims to compare the accuracy of Linear Regression and Long Short-Term Memory (LSTM) methods in predicting Bitcoin prices using historical data from Yahoo Finance. The research process begins with the collection of historical Bitcoin price data from September 17, 2014, to July 15, 2024, followed by data processing that includes cleaning and splitting the dataset into training and test data. Linear Regression and LSTM models are applied to the training data and tested to evaluate their performance in price prediction. The research findings show that the LSTM model significantly outperforms the Linear Regression model in terms of prediction accuracy. The LSTM model records much lower Mean Squared Error (MSE) and Root Mean Squared Error (RMSE), as well as perfect R² scores on both datasets, demonstrating its high precision in prediction. In contrast, the Linear Regression model shows higher errors and lower explanatory power of data variability. These findings indicate that LSTM is more effective in capturing temporal patterns and Bitcoin price fluctuations, offering better accuracy and potentially being more suitable for future cryptocurrency price analysis, providing better guidance for investors in this highly dynamic market.

Online Portfolio Selection of Fuzzy Mean Regression Strategy Considering Investor Sentiment Based on Text Data

Investors are often affected by emotion, cognition, and other psychological factors in stock trading when making decisions. At present, people can use machine learning and other technologies to obtain a massive amount of text data from the Internet to mine information related to investor behavior and sentiment. Building intelligent online portfolio trading strategies that consider investor sentiment has become an important topic and key challenge in the financial field. Therefore, this paper explores how to use text data to depict investor sentiment, fuzzifies historical stock price data, designs a new weight transfer equation, and finally obtains a novel fuzzy mean regression strategy that considers investor sentiment based on text data. We conduct empirical tests on this strategy by using the stock price data selected from CSI300 constituent stocks, as well as the text data of investors’ opinions on the internet. The results show that the strategy proposed in this study has a higher Calmar ratio than other mean regression strategies previously studied.

FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs

We introduce a new approach for generating sequences of implied volatility (IV) surfaces across multiple assets that are faithful to historical prices. We do so using a combination of functional data analysis and neural stochastic differential equations (SDEs) combined with a probability integral transform penalty to reduce model misspecification. We demonstrate that learning the joint dynamics of IV surfaces and prices produces market scenarios that are consistent with historical features and lie within the sub-manifold of surfaces that are essentially free of static arbitrage. Finally, we demonstrate that delta hedging using the simulated surfaces generates profit and loss (P&L) distributions that are consistent with realized P&Ls.

A decomposition-ensemble-integration framework for carbon price forecasting

Accurate carbon price forecasting is crucial for effective carbon trading policies that mitigate climate change. The volatility and uncertainty of carbon prices pose significant challenges. Traditional frameworks that use a single model for all intrinsic mode functions (IMFs) fail to leverage the diverse strengths of different models. In this paper, we propose DecEnsInt, a novel framework that utilizes an ensemble of models tailored to distinct frequency domains. By using Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN) to decompose historical prices into IMFs and optimizing ensemble parameters through Sequential Least Squares Programming (SLSQP) for each frequency domain, DecEnsInt enhances forecasting performance. Extensive experiments on four Emissions Trading System (ETS) datasets, evaluated using RMSE, MAPE, MAE and R2, demonstrate DecEnsInt’s superiority, achieving relative improvements in key metrics by 10.58% to 17.72% over runner-up ensemble methods. DecEnsInt also achieves better robustness and stability across different forecasting steps, proving its effectiveness in handling the complexities of carbon price forecasting.

Analisis Kinerja Algoritma Machine Learning dalam Prediksi Harga Cryptocurrency

Cryptocurrency has become an increasingly popular digital asset in recent years. However, cryptocurrency prices are highly volatile and difficult to predict due to being influenced by many factors such as market sentiment, regulations, and technological adoption. This study aims to analyze the performance of several popular machine learning algorithms in accurately predicting cryptocurrency prices. We evaluated four algorithms: Linear Regression, Random Forest, Support Vector Machine (SVM), and Long Short-Term Memory (LSTM) using historical price datasets of Bitcoin, Ethereum, and Litecoin. The data were analyzed by preprocessing steps such as normalization and splitting into training and testing sets. Evaluation metrics used were Mean Absolute Error (MAE), Root Mean Squared Error (RMSE), and prediction accuracy. The experimental results showed that the LSTM algorithm had the best performance in predicting cryptocurrency prices with the highest accuracy and lowest error, followed by SVM, Random Forest, and Linear Regression. Further analysis revealed that LSTM was able to capture patterns and trends in complex time series data.

Stock prediction using Bi-LSTM and RoBERTa sentiment analysis

Stock price forecasting is a widespread research issue in the field of finance. Stock price prediction can give investors more accurate advice and yield higher returns. With the popularity of social media, more and more people choose to express their opinions, and more and more media outlets published news on social media. This paper mainly conducts stock analysis and prediction by presenting the RoBERTa-BiLSTM model with the Bahdanau attention mechanism. It consists of two existing models: the RoBERTa and bidirectional LSTM models. The experimental results show that this model is more accurate in predicting stock prices than the Multi-Layer Perception (MLP) and LSTM models. Inputs to the model include historical AAPL stock price data and sentiment data analysed by news and Twitter tweet sentiment. In this paper, the high-precision RoBERTa-BiLSTM model for stock prediction was proposed, which provides a solution for stock prediction. The practical applications and the typical problem of most studies about stock prediction called the time-shifted problem, are provided in this paper and also have research value.

Optimized Deep Learning Model Architecture for the Feature Extraction to Predict Trend in Stock Market

Predicting stock trends is a complex task influenced by various factors such as market sentiment, economic indicators, and company performance. Analysts often employ technical analysis, studying historical price patterns and trading volumes, as well as fundamental analysis, assessing financial statements and industry trends. Deep Learning models have also gained popularity for predicting stock trends, using algorithms to identify patterns and relationships in large datasets. Deep learning algorithms, particularly neural networks, excel at recognizing intricate patterns and relationships within complex datasets, making them well-suited for predicting stock prices, identifying trends, and managing risk. Hence, this paper proposed a Bird Swarm Optimization ARIMA LSTM (BSO-ARIMA-DL) model for stock trend prediction. The proposed BSO-ARIMA-DL model performance is applied in the company datasets Apple, Amazon, and Infosys for stock trend prediction. With the proposed BSO-ARIMA-DL model features are optimized for the identification of features in the dataset for the evaluation of optimal features. Upon the estimation of features, the ARIMA model with the LSTM architecture is implemented for the stock trend analysis. The proposed BSO-ARIMA-DL model deep learning model is implemented for the stock trend prediction in the companies. The results demonstrated that the proposed BSO-ARIMA-DL model exhibits a minimal error of ~10% minimal to the conventional ARIMA model.

Predicting the closing price of cryptocurrency Ethereum

Given that cryptocurrencies are now involved in nearly every financial transaction due to their widespread acceptance as an alternative method of payment and currency exchange, researchers and economists have increased opportunities to analyze cryptocurrency prices. Over time, predicting the daily closing price of Ethereum has been challenging for investors, traders, and investment banks because of its significant price volatility. The daily closing price of cryptocurrency is crucial for trading or investing in Ethereum. This report aims to conduct a comparative analysis of the predictive performance of deep machine learning algorithms within a stacking ensemble modeling framework, utilizing daily historical price data of Ethereum from Coindesk, tweets from Twitter spanning from August 1, 2022, to August 8, 2022, and five additional covariates (closing price lag1, closing price lag2, noltrend, daytype, and month) derived from Ethereum's closing price. Seven models are employed to forecast the daily closing price of Ethereum: recurrent neural network, ensemble stacked recurrent neural network, gradient boosting machine, generalized linear model, distributed random forest, deep neural networks, and a stacked ensemble of gradient boosting machine, generalized linear model, distributed random forest, and deep neural networks. The primary evaluation metric is the mean absolute error (MAE). Based on MAE, the RNN forecasts outperform the other models in this study, achieving an MAE of 0.0309.

Mid-season nitrogen management for winter wheat under price and weather uncertainty

ContextIn-season nitrogen (N) management tools are essential for optimizing N application rates, maximizing farmers’ economic returns and minimizing adverse environmental impacts. The primary limitation to developing such tools is the risk associated with uncertainties in weather forecasts and crop price projections required to estimate yields and returns for different N rates. Therefore, characterizing the risk associated with these uncertainties is crucial for determining optimum N rates in-season. ObjectiveThis study investigated the N application decision-making process for farmers, accounting for risks associated with weather and crop price uncertainties through crop modeling and economic analysis. MethodsWe used field trial data for winter wheat in Kansas to examine how optimal nitrogen rates and economic returns vary over sites, years, and differing farmers’ risk attitudes. First, the Environmental Policy Integrated Climate (EPIC) agroecosystem model was used to simulate the distribution of final yields under different N applications during early spring. Then, an autoregressive moving average (ARMA) model estimated the wheat price distribution at harvest based on historical prices. Finally, optimal N application rates for farmers with different risk appetites were estimated using two risk decision models: the constant-absolute-risk-averse (CARA) expected utility model, which treats upside (higher-than-expected returns) and downside (lower-than-expected returns) deviations equally, and the invariant-preference, generalized-deviation (IPGD) model, which focuses on downside risk. ResultsWe found that optimal N rates vary greatly between sites and years, as well as across farmers with different risk preferences. Due to the positive skewness of economic return distribution, farmers tend to apply lower N rates when considering downside risk. On average, the optimal N rate for farmers with a CARA coefficient of 0.002 is 77 kg/ha in the CARA model and 67 kg/ha in the IPGD model. Compared to the outcome of risk-neutral N usage, risk-averse N usage for a farmer with a CARA coefficient of 0.008 could reduce the uncertainty (standard deviation) of return by 6.2 %, on average, while the expected return decreased by only 1.2 %. ConclusionsBy lowering the N rate, risk-averse farmers would reduce the uncertainty of returns and incur a minor return loss, suggesting the possibility of improving agricultural resilience while also improving N use efficiency. Our analysis also underscores the importance of yearly site-specific N management, given the substantial variation in optimal rates across years and locations. SignificanceThis study provides the foundation for an N application decision framework that considers both weather and price uncertainty. The analysis also demonstrates the potential co-benefit of enhancing agriculture’s climate and market resilience while potentially lowering N losses.

Curriculum learning empowered reinforcement learning for graph-based portfolio management: Performance optimization and comprehensive analysis

Portfolio management (PM) is a popular financial process that concerns the occasional reallocation of a particular quantity of capital into a portfolio of assets, with the main aim of maximizing profitability conditioned to a certain level of risk. Given the inherent dynamicity of stock exchanges and development for long-term performance, reinforcement learning (RL) has become a dominating solution for solving the problem of portfolio management in an automated and efficient manner. Nevertheless, the present RL-based PM methods just take into account the variations in prices of portfolio assets and the implications of price variations, while overlooking the significant relationships among different assets in the market, which are extremely valuable for managerial decisions. To close this gap, this paper introduces a novel deep model that combines two subnetworks; one to learn a temporal representation of historical prices using a refined temporal learner, while the other learns the relationships between different stocks in the market using a relation graph learner (RGL). Then, the above learners are integrated into the curriculum RL scheme for formulating the PM as a curriculum Markov Decision Process, in which an adaptive curriculum policy is presented to enable the agent to adaptively minimize risk value and maximize cumulative return. Proof-of-concept experiments are performed on data from three public stock indices (namely S&P500, NYSE, and NASDAQ), and the results demonstrate the efficiency of the proposed framework in improving the portfolio management performance over the competing RL solutions.

Assessing the Predictive Power of Transformers, ARIMA, and LSTM in Forecasting Stock Prices of Moroccan Credit Companies

In this paper, we present a data-driven approach to forecasting stock prices in the Moroccan Stock Exchange. Our study tests three predictive models: ARIMA, LSTM, and transformers, applied to the historical stock price data of three prominent credit companies (EQD, LES, and SLF) listed on the Casablanca Stock Exchange. We carefully selected and optimized hyperparameters for each model to achieve optimal performance. Our results showed that the LSTM model achieved high accuracy, with R-squared values exceeding 0.99 for EQD and LES and surpassing 0.95 for SLF. These findings highlighted the effectiveness of LSTM in stock price forecasting. Our study offers practical insights for traders and investors in the Moroccan Stock Exchange, demonstrating how predictive modeling can aid in making informed decisions. This research contributes to advancing stock market forecasting in Morocco, providing valuable tools for navigating the Casablanca Stock Exchange.

Understanding key mineral supply chain dynamics using economics‐informed material flow analysis and Bayesian optimization

AbstractThe low‐carbon energy transition requires significant increases in production for many mineral commodities. Understanding demand, technological requirements, and prices associated with this production increase requires understanding the supply chain dynamics of many minerals simultaneously, and via a consistent framework. A generalized economics‐informed material flow method, global materials modeling using Bayesian optimization, captures the market dynamics of key mineral commodities. The method relies only on a limited set of widely available historical data as input, enabling quantification of economic relationships (elasticities) for supply chain components where data are sparse, and relationships cannot be obtained via traditional statistical approaches. Building upon established material flow analysis (MFA) and economic modeling techniques, Bayesian optimization was applied to fit an economics‐informed MFA model to global historical demand, supply, and price for aluminum, copper, gold, lead, nickel, silver, iron, tin, and zinc. This approach enables estimates for the evolution of ore grades, mine costs, refining charges, sector‐specific demand, and scrap collection for each commodity. Economic relationships were quantified and compared with a database compiled from the literature, including 1333 values from 213 analyses across 65 publications. Discrepancies in methods and limited coverage make use of these parameters in modeling efforts difficult. This work provides a single, homogeneous, probabilistic approach to identifying economic relationships across mineral supply chains, with uncertainty quantification, a literature database for comparison, and a modeling framework in which to use them. This article met the requirements for a Gold‐Gold JIE data openness badge described at http://jie.click/badges.