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Sequential hypothesis testing in machine learning driven crude oil jump detection

arXiv.org Machine Learning

In this paper we present a sequential hypothesis test for the detection of general jump size distrubution. Infinitesimal generators for the corresponding log-likelihood ratios are presented and analyzed. Bounds for infinitesimal generators in terms of super-solutions and sub-solutions are computed. This is shown to be implementable in relation to various classification problems for a crude oil price data set. Machine and deep learning algorithms are implemented to extract a specific deterministic component from the crude oil data set, and the deterministic component is implemented to improve the Barndorff-Nielsen and Shephard model, a commonly used stochastic model for derivative and commodity market analysis.


Financial Time Series Forecasting with Deep Learning : A Systematic Literature Review: 2005-2019

arXiv.org Machine Learning

Financial time series forecasting is, without a doubt, the top choice of computational intelligence for finance researchers from both academia and financial industry due to its broad implementation areas and substantial impact. Machine Learning (ML) researchers came up with various models and a vast number of studies have been published accordingly. As such, a significant amount of surveys exist covering ML for financial time series forecasting studies. Lately, Deep Learning (DL) models started appearing within the field, with results that significantly outperform traditional ML counterparts. Even though there is a growing interest in developing models for financial time series forecasting research, there is a lack of review papers that were solely focused on DL for finance. Hence, our motivation in this paper is to provide a comprehensive literature review on DL studies for financial time series forecasting implementations. We not only categorized the studies according to their intended forecasting implementation areas, such as index, forex, commodity forecasting, but also grouped them based on their DL model choices, such as Convolutional Neural Networks (CNNs), Deep Belief Networks (DBNs), Long-Short Term Memory (LSTM). We also tried to envision the future for the field by highlighting the possible setbacks and opportunities, so the interested researchers can benefit.


Deep Learning for Financial Applications : A Survey

arXiv.org Machine Learning

Computational intelligence in finance has been a very popular topic for both academia and financial industry in the last few decades. Numerous studies have been published resulting in various models. Meanwhile, within the Machine Learning (ML) field, Deep Learning (DL) started getting a lot of attention recently, mostly due to its outperformance over the classical models. Lots of different implementations of DL exist today, and the broad interest is continuing. Finance is one particular area where DL models started getting traction, however, the playfield is wide open, a lot of research opportunities still exist. In this paper, we tried to provide a state-of-the-art snapshot of the developed DL models for financial applications, as of today. We not only categorized the works according to their intended subfield in finance but also analyzed them based on their DL models. In addition, we also aimed at identifying possible future implementations and highlighted the pathway for the ongoing research within the field.


A new hybrid approach for crude oil price forecasting: Evidence from multi-scale data

arXiv.org Machine Learning

Faced with the growing research towards crude oil price fluctuations influential factors following the accelerated development of Internet technology, accessible data such as Google search volume index are increasingly quantified and incorporated into forecasting approaches. In this paper, we apply multi-scale data that including both GSVI data and traditional economic data related to crude oil price as independent variables and propose a new hybrid approach for monthly crude oil price forecasting. This hybrid approach, based on divide and conquer strategy, consists of K-means method, kernel principal component analysis and kernel extreme learning machine , where K-means method is adopted to divide input data into certain clusters, KPCA is applied to reduce dimension, and KELM is employed for final crude oil price forecasting. The empirical result can be analyzed from data and method levels. At the data level, GSVI data perform better than economic data in level forecasting accuracy but with opposite performance in directional forecasting accuracy because of Herd Behavior, while hybrid data combined their advantages and obtain best forecasting performance in both level and directional accuracy. At the method level, the approaches with K-means perform better than those without K-means, which demonstrates that divide and conquer strategy can effectively improve the forecasting performance.


Multivariate Forecasting of Crude Oil Spot Prices using Neural Networks

arXiv.org Machine Learning

Abstract--Crude oil is a major component in most advanced economies of the world. Accurately predicting and understanding thebehavior of crude oil prices is important for economists, analysts, forecasters, and traders, to name a few. The price of crude oil has declined in the past decade and is seeing a phase of stability; but will this stability last? This work is an empirical study on how multivariate analysis may be employed to predict crude oil spot prices using neural networks. The concept of using neural networks showed promising potential. A very simple neural network model was able to perform on par with ARIMA models - the state-of-the-art model in time-series forecasting. Advanced neural network models using larger datasets may be used in the future to extend this proofof-concept toa full scale framework. I. INTRODUCTION Crude oil spot prices saw a tremendous uptick in the first decade of the 21 Since 2014, crude oil prices have fallen and may have stabilized now. However, there has always been a constant interest in accurately predicting crude oil prices; given that crude oil drives a major portion of the economy. Economists, scientists, data analysts, and traders are all interested in models that give them the best accuracy.