Search Results (63)

If intraday price data are unavailable, then using daily returns to construct realized measures of the variances of lower-frequency returns is a natural substitute for using high-frequency returns in this context. Notably, a suitable application of this approach yields realized measures that are unbiased estimators of the unconditional and conditional variances of holding period returns for any investment horizon. I use a long sample of daily S&P 500 index returns to investigate the merits of constructing realized measures in this fashion. First, I conduct a Monte Carlo study using a data generating process that reproduces the key dynamic properties of index returns. The results of the study suggest that using realized measures constructed from daily returns to estimate the conditional and unconditional variances of lower-frequency returns should lead to substantial increases in efficiency. Next, I fit a multiplicative error model to the realized measures for weekly and monthly index returns to obtain out-of-sample forecasts of their conditional variances. Using the forecasts produced by a generalized autoregressive conditional heteroskedasticity model as a benchmark, I find that the forecasts produced by the multiplicative error model always generate lower mean absolute errors. Furthermore, the improvements in forecasting performance are statistically significant in most cases. Full article

This study proposes a hybrid forecasting framework that integrates the Auto-Regressive Integrated Moving Average (ARIMA) model with multiple variations of the Ata model, using a performance-based model selection strategy to enhance forecasting accuracy on the M3 and M4 competition datasets. For each time series, seven versions of the Ata model are generated by adjusting level and trend parameters, and the version with the lowest in-sample symmetric mean absolute percentage error (sMAPE) is selected. To improve robustness and prevent overfitting, the median-performing Ata model is also included. These selected models’ forecasts are then combined with ARIMA outputs through optimized weighting schemes tailored to the characteristics of each series. Given the varying frequencies (e.g., yearly, quarterly, monthly, weekly, daily, and hourly) and diverse lengths of time series, a grid search algorithm is employed to determine the best hybrid combination for each frequency group. The model is applied in a series-specific manner, allowing it to adapt to different seasonal, trend, and irregular patterns. Extensive empirical results demonstrate that the hybrid model outperforms its individual components and traditional benchmarks across all frequency categories. It ranked first in the M3 competition and achieved second place in the M4 competition based on the official error metric, the sMAPE and Overall Weighted Average (OWA), respectively. The results highlight the framework’s adaptability and scalability for complex, heterogeneous time series environments. Full article

Generative models are being used in all domains. While primarily built for processing texts and images, their reach has been further extended towards data-driven forecasting. Whereas there are many statistical, machine learning and deep learning models for predictive forecasting, generative models are special because they do not need to be trained beforehand, saving time and computational power. Also, multivariate forecasting with the existing models is difficult when the future horizons are unknown for the regressors because they add mode uncertainties in the forecasting process. Thus, this study experiments with TimeGPT(Zeroshot) by Nixtla where it tries to identify if the generative model can outperform other models like ARIMA, Prophet, NeuralProphet, Linear Regression, XGBoost, Random Forest, LSTM, and RNN. To determine this, the research created synthetic datasets and synthetic signals to assess the individual model performances and regressor performances for 12 models. The results then used the findings to assess the performance of TimeGPT in comparison to the best fitting models in different real-world scenarios. The results showed that TimeGPT outperforms multivariate forecasting for weekly granularities by automatically selecting important regressors whereas its performance for daily and monthly granularities is still weak. Full article

This study presents a novel cyber-resilient, data-driven optimisation framework for real-time energy management in electric vehicle (EV)-integrated smart grids. The proposed framework integrates a hybrid optimisation engine—combining genetic algorithms and reinforcement learning—with a real-time analytics module to enable adaptive scheduling under uncertainty. It accounts for dynamic electricity pricing, EV mobility patterns, and grid load fluctuations, dynamically reallocating charging demand in response to evolving grid conditions. Unlike existing GA/RL schedulers, this framework uniquely integrates adaptive optimisation with resilient forecasting under incomplete data and lightweight blockchain-inspired cyber-defence, thereby addressing efficiency, accuracy, and security simultaneously. To ensure secure and trustworthy EV–grid communication, a lightweight blockchain-inspired protocol is incorporated, supported by an intrusion detection system (IDS) for cyber-attack mitigation. Empirical evaluation using European smart grid datasets demonstrates a daily peak demand reduction of 9.6% (from 33 kWh to 29.8 kWh), with a 27% decrease in energy delivered at the original peak hour and a redistribution of demand that increases delivery at 19:00 h by nearly 25%. Station utilisation became more balanced, with weekly peak normalised utilisation falling from 1.0 to 0.7. The forecasting module achieved a mean absolute error (MAE) of 0.25 kWh and a mean absolute percentage error (MAPE) below 20% even with up to 25% missing data. Among tested models, CatBoost outperformed LightGBM and XGBoost with an RMSE of 0.853 kWh and $R^2$ of 0.416. The IDS achieved 94.1% accuracy, an AUC of 0.97, and detected attacks within 50–300 ms, maintaining over 74% detection accuracy under 50% novel attack scenarios. The optimisation runtime remained below 0.4 s even at five times the nominal dataset scale. Additionally, the study outlines a conceptual extension to support location-based planning of charging infrastructure. This proposes the alignment of infrastructure roll-out with forecasted demand to enhance spatial deployment efficiency. While not implemented in the current framework, this forward-looking integration highlights opportunities for synchronising infrastructure development with dynamic usage patterns. Collectively, the findings confirm that the proposed approach is technically robust, operationally feasible, and adaptable to the evolving demands of intelligent EV–smart grid systems. Full article

Aiming at addressing the problem of insufficient fusion of multi-source heterogeneous features in short-term power load forecasting, this paper proposes a three-channel LSTM-CNN hybrid forecasting model. This method extracts the temporal characteristics of time, weather, and historical loads through independent LSTM channels and realizes cross-modal spatial correlation mining by using a Convolutional Neural Network (CNN). The time channel takes hour, week, and holiday codes as input to capture the daily/weekly cycle patterns. The meteorological channel integrates real-time data such as temperature and humidity and models the nonlinear delay effect between them and the load. The historical load channel sequence of the past 24 h is analyzed to interpret the internal trend and fluctuation characteristics. The output of the three channels is concatenated and then input into a one-dimensional convolutional layer. Cross-modal cooperative features are extracted through local perception. Finally, the 24 h load prediction value is output through the fully connected layer. The experimental results show that the prediction model based on the three-channel LSTM-CNN has a better prediction effect compared with the existing models, and its average absolute percentage error on the two datasets is reduced to 1.367% and 0.974%, respectively. The research results provide an expandable framework for multi-source time series data modeling, supporting the precise dispatching of smart grids and optimal energy allocation. Full article

Brent oil holds a significant position in the global energy market, as oil prices in many regions are indexed to it. Therefore, forecasting the future price of Brent oil is of great importance. In recent years, artificial intelligence techniques have been widely applied in modeling and prediction tasks. In this study, an Adaptive Neuro-Fuzzy Inference System (ANFIS), a well-established AI approach, was employed for the time-series forecasting of Brent oil prices. To ensure effective learning and improve prediction accuracy, ANFIS was trained using nine different metaheuristic algorithms: Artificial Bee Colony (ABC), Selfish Herd Optimizer (SHO), Biogeography-Based Optimization (BBO), Multi-Verse Optimizer (MVO), Teaching–Learning-Based Optimization (TLBO), Cuckoo Search (CS), Moth Flame Optimization (MFO), Marine Predator Algorithm (MPA), and Flower Pollination Algorithm (FPA). Symmetric training procedures were applied across all algorithms to ensure fair and consistent evaluation. The analyses were conducted on the lowest and highest daily, weekly, and monthly Brent oil prices. Mean squared error (MSE) was used as the primary performance metric. The results showed that all algorithms achieved effective prediction performance. Among them, BBO and TLBO demonstrated superior accuracy and stability, particularly in handling the complexities of Brent oil forecasting. This study contributes to the literature by combining ANFIS and metaheuristics within a symmetric framework of experimentation and evaluation. Full article

Due to the inherent complexity of urban road networks and the irregular periodic fluctuations of traffic flow, traffic forecasting remains a challenging spatiotemporal modeling task.Existing studies predominantly focus on capturing spatial dependencies among nodes, while often overlooking the long-term evolutionary patterns and internally stable, recurring flow behaviors at individual nodes. This limitation compromises both the generalization capacity and long-term forecasting performance of current models.To address these issues, we propose a novel Dynamic Pattern Matching Network (DPMNet) that incorporates a memory-augmented architecture to dynamically learn and retrieve historical traffic patterns at each node, thereby enabling efficient modeling of localized flow dynamics. Building upon this foundation, we further develop a comprehensive framework named DPMformer, which integrates daily and weekly temporal embeddings to enhance the modeling of long-term trends and leverages a pattern matching mechanism to improve the representation of complex spatiotemporal structures.Extensive experiments conducted on four real-world traffic datasets demonstrate that the proposed method significantly outperforms mainstream baseline models across multiple forecasting horizons and evaluation metrics. Full article

Electric power load forecasting is essential for the efficient operation and strategic planning of utilities. Decisions regarding the electric market, power generation, load management, and infrastructure development all rely on accurate load predictions. This work presents a novel methodology for day-ahead load forecasting. The approach employs a long short-term memory neural network (LSTM NN) trained on representative load and meteorological data from the region. Before training, the load dataset is grouped by its statistical seasonality through K-means clustering analysis. Clustering load demand, along with similar-day data management, enables more focused training of the LSTM network on uniform data subsets, enhancing the model’s ability to capture temporal patterns and reducing the complexity associated with high variability in demand data. A case study using hourly load demand time-series data provided by the Centro Nacional de Control de Energía (CENACE) is analyzed, and the mean absolute percentage error (MAPE) is calculated, showing lower MAPE than traditional methods. This hybrid approach demonstrates the potential of integrating clustering techniques with neural networks and representative meteorological data from the region to achieve more reliable and accurate regional day-ahead load forecasting. Full article

With the significant potential of Unmanned Aircraft Vehicles (UAVs) extending throughout various fields and industries, their proliferation raises concerns regarding potential risks within the national airspace system (NAS). To enhance the safe and efficient integration of UAVs into airport environments, this paper presents an analysis of temporal statistical patterns in flight traffic, the predictive modeling of future traffic trends using machine learning, and the identification of optimal time windows for UAV operations within airports. The framework was developed using historical Automatic Dependent Surveillance–Broadcast (ADS-B) data obtained from the OpenSky Network. Historical flight data from Class B, C, and D airports in California are processed, and statistical analysis is carried out to identify temporal variations in flight traffic, including daily, weekly, and seasonal trends. A recurrent neural network (RNN) model incorporating Long Short-Term Memory (LSTM) architecture is developed to forecast future flight counts based on historical patterns, achieving mean absolute error (MAE) values of 4.52, 2.13, and 0.87 for Class B, C, and D airports, respectively. The statistical analysis findings highlight distinct traffic patterns across airport classes, emphasizing the practicality of utilizing ADS-B data for UAV flight scheduling to minimize conflicts with manned aircraft. Additionally, the study explores the influence of external factors, including weather conditions and dataset limitations on prediction accuracy. By integrating machine learning with real-time ADS-B data, this research provides a framework for optimizing UAV operations, supporting airspace management and improving regulatory compliance for safe UAV integration into controlled airspace. Full article

Air pollution forecasting is essential for understanding environmental patterns and mitigating health risks, especially in urban areas. This study investigates the forecasting of criterion pollutants—$CO,O_3,S{O}_2,N{O}_2,P{M}_{2.5},$ and $P{M}_{10}$—across multiple temporal frames (hourly, daily, weekly, monthly) in Salamanca, Mexico, utilizing temporal, meteorological, and pollutant data from local monitoring stations. The primary objective is to identify robust models capable of short- and mid-term predictions, despite challenges related to data inconsistencies and missing values. Leveraging the low-code PyCaret framework, a benchmark analysis was conducted to identify the best-performing models for each pollutant. Statistical evaluations, including ANOVA and Tukey HSD tests, were employed to compare model performance across different time frames. The results reveal significant variations in prediction accuracy depending on both the pollutant and temporal windows, with stronger predictive performance observed in the weekly and monthly frames. The research indicates that the incorporation of temporal and environmental variables enhances forecast accuracy and highlights the value of low-code AutoML tools, such as PyCaret, in streamlining model selection and improving overall forecasting efficiency. Full article

Detection and quantification of disease-related biomarkers in wastewater samples, denominated Wastewater-based Surveillance (WBS), has proven a valuable strategy for studying the prevalence of infectious diseases within populations in a time- and resource-efficient manner, as wastewater samples are representative of all cases within the catchment area, whether they are clinically reported or not. However, analysis and interpretation of WBS datasets for decision-making during public health emergencies, such as the COVID-19 pandemic, remains an area of opportunity. In this article, a database obtained from wastewater sampling at wastewater treatment plants (WWTPs) and university campuses in Monterrey and Mexico City between 2021 and 2022 was used to train simple clustering- and regression-based risk assessment models to allow for informed prevention and control measures in high-affluence facilities, even if working with low-dimensionality datasets and a limited number of observations. When dividing weekly data points based on whether the seven-day average daily new COVID-19 cases were above a certain threshold, the resulting clustering model could differentiate between weeks with surges in clinical reports and periods between them with an 87.9% accuracy rate. Moreover, the clustering model provided satisfactory forecasts one week (80.4% accuracy) and two weeks (81.8%) into the future. However, the prediction of the weekly average of new daily cases was limited (R² = 0.80, MAPE = 72.6%), likely because of insufficient dimensionality in the database. Overall, while simple, WBS-supported models can provide relevant insights for decision-makers during epidemiological outbreaks, regression algorithms for prediction using low-dimensionality datasets can still be improved. Full article

This paper demonstrates how artificial intelligence can be implemented in order to predict the energy needs of daily households using both multilinear regression (MLR) and single linear regression (SLR) methods. As a basic implementation, the SLR makes use of one input variable, which is the total amount of energy generated as an input. The MLR implementation involves multiple input variables being taken from various energy sources, including gas, coal, geothermal, wind, water, biomass, oil, etc. All of these variables are derived from detailed energy production data from the various energy sources. The purpose of this paper is to demonstrate that it is possible to analyze energy demand and supply directly together as a way to produce a more in-depth analysis. By analyzing energy production data from previous periods of time, a prediction of energy demand can be made. Compared to the SLR implementation, the MLR implementation is found to perform better because it is able to achieve a smaller error value. Furthermore, the forecasting pattern is carried out sequentially based on a periodic pattern, so this paper calls this method the recurrence multilinear regression (RMLR) method. This paper also creates a pre-clustering using the K-Means algorithm before the energy prediction to improve accuracy. Other models such as exponential GPR, sequential XGBoost, and seq2seq LSTM are used for comparison. The prediction results are evaluated by calculating the MAE, RMSE, MAPE, MAPA, and time execution for all models. The simulation results show that the fastest and best model that obtains the smallest error (3.4%) is the RMLR clustered using a weekly pattern period. Full article

In this manuscript, daily and weekly geometric Brownian motion forecasts are obtained and tested for reliability for three indexes, DJIA, NASDAQ and S&P 500. A twenty-year rolling window is used to estimate the drift and diffusion components, and applied to obtain one-period-ahead geometric Brownian motion index values and associated probabilities. Expected values are estimated by totaling up the product of the index value and its associated probabilities, and test for reliability. The results indicate that geometric Brownian-simulated expected index values estimated using one thousand simulations can be reliable forecasts of the actual index values. Expected values estimated using one or ten simulations are not as reliable, while those obtained using at least one hundred simulations could be useful. Full article

Short-time forecasting of the demand on water distribution networks is a challenging task because of the high variability and uncertainty of that demand. Of the different approaches used, we consider the probability modeling of demand time series to be the most interesting, and specifically propose the use of Generalized Autoregressive Moving Average (GARMA) models. The complete proposed model uses a gamma probability density function, variables for weekends, and harmonic functions for daily and weekly seasonality, among other parameters. In the context of the Battle of Water Demand Forecasting, we train and test the model with a demand database for ten District Metered Areas. We obtain high accuracy, with mean absolute error values of around 0.25 L/s to 1.89 L/s. Full article

With increasing pressures from population growth, urbanization, and climate change, effective water resource management is crucial. This paper presents a computational intelligence framework employing machine learning and multi-objective optimization for the short-term forecasting battle of urban water demand within District Metered Areas (DMAs). Our methodology utilizes historical data from DMAs in North-East Italy, focusing on daily and weekly forecasts to optimize water utility operations and energy purchasing. By integrating environmental variables, the proposed models aim to improve forecasting accuracy, model interpretability, and structural complexity, thus meeting the practical needs of water utilities. Full article