scholarly journals PEMODELAN VOLATILITAS RETURN PORTOFOLIO SAHAM MENGGUNAKAN FEED FORWARD NERURAL NETWORK (Studi Kasus :PT Bumi Serpong Damai Tbk. Dan PT H.M Sampoerna Tbk.)

2018 ◽  
Vol 7 (2) ◽  
pp. 200-211
Author(s):  
Rizki Pradipto Widyantomo ◽  
Abdul Hoyyi ◽  
Tatik Widiharih
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Time Series Analysis ◽  
Network Model ◽  
Neural Network Model ◽  
Arima Model ◽  
Garch Model ◽  
Residual Variance ◽  
Series Analysis ◽  
Input Variables

Time series analysis is an analysis used to predict a time-observed data, one of which is the ARIMA model. ARIMA model assumes a constant residual variance (homogeneous). While financial data usually produce ARIMA model with variance error that is not constant. If the assumption of homogeneity of the residual variance is not met, then the method that can be used is ARCH or GARCH model. Another method that can be used on the data assuming the homogeneity of the variance error is not met is the Neural Network model. In this model we use Neural Network model with variance and residual as the input variables that obtained from ARCH / GARCH model. The data used are BSDE and HMSP asset portfolio returns from November 14, 2016 to January 18, 2018. In this study the selected input variables are from ARIMA (1.0.1) GARCH (1,1) model. The best Neural Network model obtained is Neural Network model with 10 hidden layers with MSE value 6.58 x10-10 with model train evaluation which is MAPE value 1.14441%.Keywords: Time series Analysis, ARCH / GARCH, Neural Network, Return.

A dynamic relearning neural network model for time series analysis of online marine data

2014 ◽  
Vol 73 ◽  
pp. 99-107
Author(s):  
Wenqing Li ◽  
Wenyan Wang ◽  
Xiaoyan Wang ◽  
Shixuan Liu ◽  
Liang Pei ◽  
...  
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Time Series Analysis ◽  
Network Model ◽  
Neural Network Model ◽  
Series Analysis ◽  
Marine Data

scholarly journals SELECTION OF INPUT VARIABLES OF NONLINEAR AUTOREGRESSIVE NEURAL NETWORK MODEL FOR TIME SERIES DATA FORECASTING

2020 ◽  
Vol 13 (2) ◽  
pp. 116-124
Author(s):  
Hermansah Hermansah ◽  
Dedi Rosadi ◽  
Abdurakhman Abdurakhman ◽  
Herni Utami
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Network Model ◽  
Neural Network Model ◽  
Time Series Data ◽  
Series Data ◽  
Input Variables ◽  
Nonlinear Autoregressive ◽  
Selection Of ◽  
Autoregressive Neural Network

NARNN is a type of ANN model consisting of a limited number of parameters and widely used for various applications. This study aims to determine the appropriate NARNN model, for the selection of input variables of nonlinear autoregressive neural network model for time series data forecasting, using the stepwise method. Furthermore, the study determines the optimal number of neurons in the hidden layer, using a trial and error method for some architecture. The NARNN model is combined in three parts, namely the learning method, the activation function, and the ensemble operator, to get the best single model. Its application in this study was conducted on real data, such as the interest rate of Bank Indonesia. The comparison results of MASE, RMSE, and MAPE values with ARIMA and Exponential Smoothing models shows that the NARNN is the best model used to effectively improve forecasting accuracy.

An improved self-organizing incremental neural network model for short-term time-series load prediction

2021 ◽  
Vol 292 ◽  
pp. 116912
Author(s):  
Rong Wang Ng ◽  
Kasim Mumtaj Begam ◽  
Rajprasad Kumar Rajkumar ◽  
Yee Wan Wong ◽  
Lee Wai Chong
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Network Model ◽  
Neural Network Model ◽  
Load Prediction ◽  
Short Term ◽  
Self Organizing

scholarly journals Forecasting of Economic Indicators (Production, Consumption, Population) of Wheat Crop (A Case Study)

2021 ◽  
Vol 8 (6) ◽  
pp. 38-46
Author(s):  
Mohammad Karim Ahmadzai
Keyword(s):  
Time Series ◽  
Time Series Analysis ◽  
Moving Average ◽  
Arima Model ◽  
Wheat Crop ◽  
Series Analysis ◽  
The People ◽  
Self Sufficiency ◽  
Univariate Time Series ◽  
Short Run

Wheat is the most important food crop in Afghanistan, whether consumed by the bulk of the people or used in various sectors. The problem is that Afghanistan has a significant shortfall of wheat between domestic production and consumption. Thus, the present study looks at the issue of meeting self-sufficiency for the whole population due to wheat shortages. To do so, we employ time series analysis, which can produce a highly exact short-run prediction for a significant quantity of data on the variables in question. The ARIMA models are versatile and widely utilised in univariate time series analysis. The ARIMA model combines three processes: I the auto-regressive (AR) process, (ii) the differencing process, and (iii) the moving average (MA) process. These processes are referred to as primary univariate time series models in statistical literature and are widely employed in various applications. Where predicting future wheat requirements is one of the most important tools that decision-makers may use to assess wheat requirements and then design measures to close the gap between supply and consumption. The present study seeks to forecast Production, Consumption, and Population for the period 2002-2017 and estimate the values of these variables between 2002 and 2017. (2018-2030).  

Wavelet neural network model for river flow time series

2012 ◽  
Vol 165 (8) ◽  
pp. 425-439 ◽  
Author(s):  
Budu Krishna ◽  
Yellamelli Ramji Satyaji Rao ◽  
Purna Chandra Nayak
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Network Model ◽  
Neural Network Model ◽  
River Flow ◽  
Flow Time ◽  
Wavelet Neural Network
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