Modelling and optimisation of effective hybridisation model for time-series data forecasting

The Journal of Engineering

Xu Ning¹  Mergani Khairalla²  Nashat AL-Jallad³ 

[1] School of Computer and Science and Technology , Wuhan University of Technology , Wuhan 430070 , People'School of Science and Technology , Nile Valley University , Atbara , Sudan;s Republic of China

关键词: nonlinear models;    benchmark models;    nonlinear method;    Sudan;    financial data;    linear combining methods;    nonlinear time-variant problems;    statistical approaches;    reduced mean-absolute percentage error;    uncertain behaviours;    financial time-series data;    exponential smoothing model;    weighted combination method;    optimisation;    forecasting horizons;    autoregressive integrated moving average model;    time series prediction;    linear models;    artificial neural network multilayers;    additive combination method;    mean-absolute percentage error;    forecasting accuracy;    Sudanese pound-EURO exchange rate;    effective hybridisation model;    data mining approaches;    time-series data forecasting;   

DOI  :  10.1049/joe.2017.0337

学科分类：工程和技术（综合）

来源: IET

【 摘 要 】

Financial time-series data have non-linear and uncertain behavior which changes across the time. Therefore, the need to solve non-linear, time-variant problems has been growing rapidly. Traditional models such as statistical and data mining approach unable to cope with these issues. The main objective of this study to combine forecasts from the autoregressive integrated moving average model, exponential (EXP) model, and the multi-layers perceptron (MLP) in a novel hybrid model. The analysis was based on financial data of Sudanese pound/EURO exchange rate in Sudan. In this case, simple additive combination and weight combination methods are used in combining linear and non-linear models to produce hybrid forecast. Comparison between benchmark models and hybrid indicates that the hybrid model offers more accurate forecasts with reduced mean-absolute percentage error of around 0.82% for all models over all forecasting horizons. Moreover, the results recommend that the non-linear method can be applicable to an alternate to linear combining methods to accomplish better forecasting accuracy. On the basis of the results of this study, the authors can conclude that further experiments to estimate the weight of the combination methods and more models essential to be surveyed so as to explore innovative concerns in series prediction.

【 授权许可】

CC BY