Zahra Hajirahimi; Mehdi Khashei
With the increasing importance of forecasting with the utmost degree of accuracy, utilizing hybrid frameworks become a must for obtaining more accurate and more reliable forecasting results. Series hybrid methodology is one of the most widely-used hybrid approaches that has encountered a great amount ...
With the increasing importance of forecasting with the utmost degree of accuracy, utilizing hybrid frameworks become a must for obtaining more accurate and more reliable forecasting results. Series hybrid methodology is one of the most widely-used hybrid approaches that has encountered a great amount of popularity in the literature of time series forecasting and has been applied successfully in a wide variety of domains. In such hybrid methods is assumed that there is an additive relationship among different components of time series. Thus, based on this assumption, various individual models can apply separately on decomposed components, and the final forecast can be obtained. However, developed series hybrid models in the literature are constructed based on the decomposing time series into linear and nonlinear parts and generating linear-nonlinear modeling order for decomposed parts. Another assumption considered in the traditional series model is assigning equal weights to each model used for modeling linear and nonlinear components. Thus, contrary to traditional series hybrid models, to improve the performance of series hybrid models, these two basic assumptions have been violated in this paper. This study aims to propose a novel weighted MLP-ARIMA model filling the gap of series hybrid models by changing the order of sequence modeling and assigning weight for each component. Firstly, the modeling order is changed to nonlinear-linear, and then Multi-Layer Perceptron Neural Network (MLPNN) -Auto-Regressive Integrated Moving Average(ARIMA) models are employed to model and process nonlinear and linear components respectively. Secondly, each model's weights are computed by the Ordinary Least Square (OLS) weighting algorithm. Thus, in this paper, a novel improved weighted MLP-ARIMA series hybrid model is proposed for time series forecasting. The real-world benchmark data sets, including Wolf's sunspot data, the Canadian lynx data, and the British pound/US dollar exchange rate data, are elected to verify the effectiveness of the proposed weighted MLP-ARIMA series hybrid model. The simulation results revealed that the weighted MLP-ARIMA model could obtain superior performance compared to ARIMA-MLP, MLP-ARIMA, as well as the ARIMA and MLPNN individual models. The proposed hybrid model can be an effective alternative to improve forecasting accuracy obtained by traditional series hybrid methods.
Z. Hajirahimi; M. Khashei
Volume 3, Issue 2 , December 2016, , Pages 17-32
Despite several individual forecasting models that have been proposed in the literature, accurate forecasting is yet one of the major challenging problems facing decision makers in various fields, especially financial markets. This is the main reason that numerous researchers have been devoted to develop ...
Despite several individual forecasting models that have been proposed in the literature, accurate forecasting is yet one of the major challenging problems facing decision makers in various fields, especially financial markets. This is the main reason that numerous researchers have been devoted to develop strategies to improve forecasting accuracy. One of the most well established and widely used solutions is hybrid methodologies that combine linear statistical and nonlinear intelligent models. The main idea of these methods is based on this fact that real time series often contain complex patterns. So single models are inadequate to model and process all kinds of existing relationships in the data, comprehensively. In this paper, the auto regressive integrated moving average (ARIMA) and artificial neural networks (ANNs), which respectively are the most important linear statistical and nonlinear intelligent models, are selected to construct a set of hybrid models. In this way, three combination architectures of the ARIMA and ANN models are presented in order to lift their limitations and improve forecasting accuracy in financial markets. Empirical results of forecasting the benchmark data sets including the opening of the Dow Jones Industrial Average Index (DJIAI), closing of the Shenzhen Integrated Index (SZII) and closing of standard and poor’s (S&P 500) indicates that hybrid models can generate superior results in comparison with both ARIMA and ANN models in forecasting stock prices.