A novel approach of hidden markov model for time series forecasting
In the past few years, tremendous studies have been made to examine the accuracy of time series forecasting that provide the foundation for decision models in foreign exchange data. This study proposes a novel approach of Hidden Markov Model and Case Based reasoning for time series forecasting. This...
| Main Authors: | Zahari, A., Jaafar, J. |
|---|---|
| Format: | Conference or Workshop Item |
| Institution: | Universiti Teknologi Petronas |
| Record Id / ISBN-0: | utp-eprints.26300 / |
| Published: |
Association for Computing Machinery, Inc
2015
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| Online Access: |
https://www.scopus.com/inward/record.uri?eid=2-s2.0-84926140234&doi=10.1145%2f2701126.2701179&partnerID=40&md5=1c77c6614801c6dc47bb6b0b81384033 http://eprints.utp.edu.my/26300/ |
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utp-eprints.263002021-08-30T07:06:46Z A novel approach of hidden markov model for time series forecasting Zahari, A. Jaafar, J. In the past few years, tremendous studies have been made to examine the accuracy of time series forecasting that provide the foundation for decision models in foreign exchange data. This study proposes a novel approach of Hidden Markov Model and Case Based reasoning for time series forecasting. This paper compares the proposed method with the single HMM and HMM ensemble with neural network. HMM is trained by using forward-backward or Baum-Welch algorithm and the likelihood value is used to predict future exchange rate price. The forecasting accuracy has been measured according to Root Mean Square Error (RMSE). The statistical performance of all techniques is investigated in testing of EUR/USD exchange rate time series over the period of October 2010 to March 2014. The preliminary results indicate that the new approach of HMM produce the lowest RMSE compared to the benchmark models. Further study is to adopt HMM-CBR in testing of GBP/USD, GBP/JPY, USD/JPY, and EUR/JPY exchange rate. Association for Computing Machinery, Inc 2015 Conference or Workshop Item NonPeerReviewed https://www.scopus.com/inward/record.uri?eid=2-s2.0-84926140234&doi=10.1145%2f2701126.2701179&partnerID=40&md5=1c77c6614801c6dc47bb6b0b81384033 Zahari, A. and Jaafar, J. (2015) A novel approach of hidden markov model for time series forecasting. In: UNSPECIFIED. http://eprints.utp.edu.my/26300/ |
| institution |
Universiti Teknologi Petronas |
| collection |
UTP Institutional Repository |
| description |
In the past few years, tremendous studies have been made to examine the accuracy of time series forecasting that provide the foundation for decision models in foreign exchange data. This study proposes a novel approach of Hidden Markov Model and Case Based reasoning for time series forecasting. This paper compares the proposed method with the single HMM and HMM ensemble with neural network. HMM is trained by using forward-backward or Baum-Welch algorithm and the likelihood value is used to predict future exchange rate price. The forecasting accuracy has been measured according to Root Mean Square Error (RMSE). The statistical performance of all techniques is investigated in testing of EUR/USD exchange rate time series over the period of October 2010 to March 2014. The preliminary results indicate that the new approach of HMM produce the lowest RMSE compared to the benchmark models. Further study is to adopt HMM-CBR in testing of GBP/USD, GBP/JPY, USD/JPY, and EUR/JPY exchange rate. |
| format |
Conference or Workshop Item |
| author |
Zahari, A. Jaafar, J. |
| spellingShingle |
Zahari, A. Jaafar, J. A novel approach of hidden markov model for time series forecasting |
| author_sort |
Zahari, A. |
| title |
A novel approach of hidden markov model for time series forecasting |
| title_short |
A novel approach of hidden markov model for time series forecasting |
| title_full |
A novel approach of hidden markov model for time series forecasting |
| title_fullStr |
A novel approach of hidden markov model for time series forecasting |
| title_full_unstemmed |
A novel approach of hidden markov model for time series forecasting |
| title_sort |
novel approach of hidden markov model for time series forecasting |
| publisher |
Association for Computing Machinery, Inc |
| publishDate |
2015 |
| url |
https://www.scopus.com/inward/record.uri?eid=2-s2.0-84926140234&doi=10.1145%2f2701126.2701179&partnerID=40&md5=1c77c6614801c6dc47bb6b0b81384033 http://eprints.utp.edu.my/26300/ |
| _version_ |
1741197116119711744 |
| score |
11.62408 |