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Impact of COVID-19 on Forecasting Stock Prices: An Integration of Stationary Wavelet Transform and Bidirectional Long Short-Term Memory

Štifanić, Daniel, Musulin, Jelena, Miočević, Adrijana, Šegota, Sandi Baressi, Šubić, Roman, Car, Zlatan

arXiv.org Machine Learning

COVID-19 is an infectious disease that mostly affects the respiratory system. At the time of this research being performed, there were more than 1.4 million cases of COVID-19, and one of the biggest anxieties is not just our health, but our livelihoods, too. In this research, authors investigate the impact of COVID-19 on the global economy, more specifically, the impact of COVID-19 on financial movement of Crude Oil price and three U.S. stock indexes: DJI, S&P 500 and NASDAQ Composite. The proposed system for predicting commodity and stock prices integrates the Stationary Wavelet Transform (SWT) and Bidirectional Long Short-Term Memory (BDLSTM) networks. Firstly, SWT is used to decompose the data into approximation and detail coefficients. After decomposition, data of Crude Oil price and stock market indexes along with COVID-19 confirmed cases were used as input variables for future price movement forecasting. As a result, the proposed system BDLSTM WT-ADA achieved satisfactory results in terms of five-day Crude Oil price forecast.


Stacked Bidirectional and Unidirectional LSTM Recurrent Neural Network for Forecasting Network-wide Traffic State with Missing Values

Cui, Zhiyong, Ke, Ruimin, Pu, Ziyuan, Wang, Yinhai

arXiv.org Machine Learning

Short-term traffic forecasting based on deep learning methods, especially recurrent neural networks (RNN), has received much attention in recent years. However, the potential of RNN-based models in traffic forecasting has not yet been fully exploited in terms of the predictive power of spatial-temporal data and the capability of handling missing data. In this paper, we focus on RNN-based models and attempt to reformulate the way to incorporate RNN and its variants into traffic prediction models. A stacked bidirectional and unidirectional LSTM network architecture (SBU-LSTM) is proposed to assist the design of neural network structures for traffic state forecasting. As a key component of the architecture, the bidirectional LSTM (BDLSM) is exploited to capture the forward and backward temporal dependencies in spatiotemporal data. To deal with missing values in spatial-temporal data, we also propose a data imputation mechanism in the LSTM structure (LSTM-I) by designing an imputation unit to infer missing values and assist traffic prediction. The bidirectional version of LSTM-I is incorporated in the SBU-LSTM architecture. Two real-world network-wide traffic state datasets are used to conduct experiments and published to facilitate further traffic prediction research. The prediction performance of multiple types of multi-layer LSTM or BDLSTM models is evaluated. Experimental results indicate that the proposed SBU-LSTM architecture, especially the two-layer BDLSTM network, can achieve superior performance for the network-wide traffic prediction in both accuracy and robustness. Further, comprehensive comparison results show that the proposed data imputation mechanism in the RNN-based models can achieve outstanding prediction performance when the model's input data contains different patterns of missing values.


An Effective Dynamic Spatio-temporal Framework with Multi-Source Information for Traffic Prediction

Wang, Jichen, Zhu, Weiguo, Sun, Yongqi, Tian, Chunzi

arXiv.org Machine Learning

Traffic prediction is necessary not only for management departments to dispatch vehicles but also for drivers to avoid congested roads. Many traffic forecasting methods based on deep learning have been proposed in recent years, and their main aim is to solve the problem of spatial dependencies and temporal dynamics. In this paper, we propose a useful dynamic model to predict the urban traffic volume by combining fully bidirectional LSTM, the more complex attention mechanism, and the external features, including weather conditions and events. First, we adopt the bidirectional LSTM to obtain temporal dependencies of traffic volume dynamically in each layer, which is different from the hybrid methods combining bidirectional and unidirectional ones; second, we use a more elaborate attention mechanism to learn short-term and long-term periodic temporal dependencies; and finally, we collect the weather conditions and events as the external features to further improve the prediction precision. The experimental results show that the proposed model improves the prediction precision by approximately 3-7 percent on the NYC-Taxi and NYC-Bike datasets compared to the most recently developed method, being a useful tool for the urban traffic prediction.