• Title/Summary/Keyword: Multivariate time series model

Search Result 86, Processing Time 0.029 seconds

Corporate Default Prediction Model Using Deep Learning Time Series Algorithm, RNN and LSTM (딥러닝 시계열 알고리즘 적용한 기업부도예측모형 유용성 검증)

  • Cha, Sungjae;Kang, Jungseok
    • Journal of Intelligence and Information Systems
    • /
    • v.24 no.4
    • /
    • pp.1-32
    • /
    • 2018
  • In addition to stakeholders including managers, employees, creditors, and investors of bankrupt companies, corporate defaults have a ripple effect on the local and national economy. Before the Asian financial crisis, the Korean government only analyzed SMEs and tried to improve the forecasting power of a default prediction model, rather than developing various corporate default models. As a result, even large corporations called 'chaebol enterprises' become bankrupt. Even after that, the analysis of past corporate defaults has been focused on specific variables, and when the government restructured immediately after the global financial crisis, they only focused on certain main variables such as 'debt ratio'. A multifaceted study of corporate default prediction models is essential to ensure diverse interests, to avoid situations like the 'Lehman Brothers Case' of the global financial crisis, to avoid total collapse in a single moment. The key variables used in corporate defaults vary over time. This is confirmed by Beaver (1967, 1968) and Altman's (1968) analysis that Deakins'(1972) study shows that the major factors affecting corporate failure have changed. In Grice's (2001) study, the importance of predictive variables was also found through Zmijewski's (1984) and Ohlson's (1980) models. However, the studies that have been carried out in the past use static models. Most of them do not consider the changes that occur in the course of time. Therefore, in order to construct consistent prediction models, it is necessary to compensate the time-dependent bias by means of a time series analysis algorithm reflecting dynamic change. Based on the global financial crisis, which has had a significant impact on Korea, this study is conducted using 10 years of annual corporate data from 2000 to 2009. Data are divided into training data, validation data, and test data respectively, and are divided into 7, 2, and 1 years respectively. In order to construct a consistent bankruptcy model in the flow of time change, we first train a time series deep learning algorithm model using the data before the financial crisis (2000~2006). The parameter tuning of the existing model and the deep learning time series algorithm is conducted with validation data including the financial crisis period (2007~2008). As a result, we construct a model that shows similar pattern to the results of the learning data and shows excellent prediction power. After that, each bankruptcy prediction model is restructured by integrating the learning data and validation data again (2000 ~ 2008), applying the optimal parameters as in the previous validation. Finally, each corporate default prediction model is evaluated and compared using test data (2009) based on the trained models over nine years. Then, the usefulness of the corporate default prediction model based on the deep learning time series algorithm is proved. In addition, by adding the Lasso regression analysis to the existing methods (multiple discriminant analysis, logit model) which select the variables, it is proved that the deep learning time series algorithm model based on the three bundles of variables is useful for robust corporate default prediction. The definition of bankruptcy used is the same as that of Lee (2015). Independent variables include financial information such as financial ratios used in previous studies. Multivariate discriminant analysis, logit model, and Lasso regression model are used to select the optimal variable group. The influence of the Multivariate discriminant analysis model proposed by Altman (1968), the Logit model proposed by Ohlson (1980), the non-time series machine learning algorithms, and the deep learning time series algorithms are compared. In the case of corporate data, there are limitations of 'nonlinear variables', 'multi-collinearity' of variables, and 'lack of data'. While the logit model is nonlinear, the Lasso regression model solves the multi-collinearity problem, and the deep learning time series algorithm using the variable data generation method complements the lack of data. Big Data Technology, a leading technology in the future, is moving from simple human analysis, to automated AI analysis, and finally towards future intertwined AI applications. Although the study of the corporate default prediction model using the time series algorithm is still in its early stages, deep learning algorithm is much faster than regression analysis at corporate default prediction modeling. Also, it is more effective on prediction power. Through the Fourth Industrial Revolution, the current government and other overseas governments are working hard to integrate the system in everyday life of their nation and society. Yet the field of deep learning time series research for the financial industry is still insufficient. This is an initial study on deep learning time series algorithm analysis of corporate defaults. Therefore it is hoped that it will be used as a comparative analysis data for non-specialists who start a study combining financial data and deep learning time series algorithm.

Forecasting Chinese Yuan/USD Via Combination Techniques During COVID-19

  • ASADULLAH, Muhammad;UDDIN, Imam;QAYYUM, Arsalan;AYUBI, Sharique;SABRI, Rabia
    • The Journal of Asian Finance, Economics and Business
    • /
    • v.8 no.5
    • /
    • pp.221-229
    • /
    • 2021
  • This study aims to forecast the exchange rate of the Chinese Yuan against the US Dollar by a combination of different models as proposed by Poon and Granger (2003) during the Covid-19 pandemic. For this purpose, we include three uni-variate time series models, i.e., ARIMA, Naïve, Exponential smoothing, and one multivariate model, i.e., NARDL. This is the first of its kind endeavor to combine univariate models along with NARDL to the best of our knowledge. Utilizing monthly data from January 2011 to December 2020, we predict the Chinese Yuan against the US dollar by two combination criteria i.e. var-cor and equal weightage. After finding out the individual accuracy, the models are then assessed through equal weightage and var-cor methods. Our results suggest that Naïve outperforms all individual & combination of time series models. Similarly, the combination of NARDL and Naïve model again outperformed all of the individual as well as combined models except the Naïve model, with the lowest MAPE value of 0764. The results suggesting that the Chinese Yuan exchange rate against the US Dollar is dependent upon the recent observations of the time series. Further evidence shows that the combination of models plays a vital role in forecasting which commensurate with the literature.

Stochastic Generation Model Development for Optimum Reservoir Operation of Water Distribution System (저수지 최적운영모형을 위한 추계학적 모의 발생 모형의 유도)

  • Kim, Tae Geun;Yoon, Yong Nam;Kim, Joong Hoon
    • KSCE Journal of Civil and Environmental Engineering Research
    • /
    • v.14 no.4
    • /
    • pp.887-896
    • /
    • 1994
  • It is common practice in the case of optimum reservoir operation model that the reservoir inflow series are generated by stochastic model with keeping other variable such as water demands from the reservoir constant. However, when the input and output of the water distribution system have close relationship the output variables can be stochastically generated in relation with the input variables. In the present study the reservoir inflow series, the input of the system, is generated by periodic autoregressive model with constant parameter, and the agricultural water demand series, the output, is generated using periodic multivariate autoregressive model with constant parameter. The time period of the data series generated is taken as 10-day which is the common period used for agricultural water uses. The results of data generation by two different models showed that the periodic stochastic models well represent the characteristics of the historical time series, and that in the case of generating model for agricultural demand series it has closer relation with reservoir inflow than with the series itself.

  • PDF

Analysis of Container Shipping Market Using Multivariate Time Series Models (다변량 시계열 모형을 이용한 컨테이너선 시장 분석)

  • Ko, Byoung-Wook;Kim, Dae-Jin
    • Journal of Korea Port Economic Association
    • /
    • v.35 no.3
    • /
    • pp.61-72
    • /
    • 2019
  • In order to enhance the competitiveness of the container shipping industry and promote its development, based on the empirical analyses using multivariate time series models, this study aims to suggest a few strategies related to the dynamics of the container shipping market. It uses the vector autoregressive (VAR) and vector error correction (VEC) models as analytical methodologies. Additionally, it uses the annual trade volumes, fleets, and freight rates as the dataset. According to the empirical results, we can infer that the most exogenous variable, the trade volume, exerted the highest influence on the total dynamics of the container shipping market. Based on these empirical results, this study suggests some implications for ship investment, freight rate forecasting, and the strategies of shipping firms. Concerning ship investment, since the exogenous trade volume variable contributes most to the uncertainty of freight rates, corporate finance can be considered more appropriate for container ship investment than project finance. Concerning the freight rate forecasting, the VAR and VEC models use the past information and the cointegrating regression model assumes future information, and hence the former models are found better than the latter model. Finally, concerning the strategies of shipping firms, this study recommends the use of cycle-linked repayment scheme and services contract.

Evaluation of Agricultural Drought Prevention Ability Based on EOF Analysis and Multi-variate Time Series Model (EOF 해석 및 다변량시계열 모형을 이용한 농업가뭄 대비능력의 평가)

  • Yoo Chul-Sang;Kim Dae-Ha;Kim Sang-Dan
    • Journal of Korea Water Resources Association
    • /
    • v.39 no.7 s.168
    • /
    • pp.617-626
    • /
    • 2006
  • In this study 3-month SPI data from 59 stations over the Korean peninsula are analyzed by deriving and spatially characterizing the EOFs. Also, the coefficient time series of EOF are applied to the multi-variate time series model to generate the time series of 10,000 years, to average them to estimate the areal average, and to decide the maximum drought severity for given return periods. Finally, the drought prevention ability is evaluated by considering the effective storage of dam within the basin and the size of agricultural area. Especially for the return period of 30 years, only the Han river basin has the potential to overcome the drought. Other river basins like the Youngsan river basin, which has a large portion of agricultural area but less water storage, are found to be very vulnerable to the rainfall-sensitive agricultural drought.

Gibbs Sampling for Double Seasonal Autoregressive Models

  • Amin, Ayman A.;Ismail, Mohamed A.
    • Communications for Statistical Applications and Methods
    • /
    • v.22 no.6
    • /
    • pp.557-573
    • /
    • 2015
  • In this paper we develop a Bayesian inference for a multiplicative double seasonal autoregressive (DSAR) model by implementing a fast, easy and accurate Gibbs sampling algorithm. We apply the Gibbs sampling to approximate empirically the marginal posterior distributions after showing that the conditional posterior distribution of the model parameters and the variance are multivariate normal and inverse gamma, respectively. The proposed Bayesian methodology is illustrated using simulated examples and real-world time series data.

Control of a mobile robot using a self-tuning controller (적응 제어기를 이용한 자율 운반체 제어)

  • 이기성;신동호
    • 제어로봇시스템학회:학술대회논문집
    • /
    • 1993.10a
    • /
    • pp.20-25
    • /
    • 1993
  • The control of the motion of a mobile robot is studied. The driving and steering motor assembly is located in the front of the mobile robot. The position of the mobile robot is determined by the steering angle and driving distance. For the controller design, a time-series multivariate model of the autogressive exogenous (ARX) type is used to describe the input-output relation. The discounted least square method is used to estimate parameters of the time-series model. A self-tuning controller is so designed that the position of the center of the mobile robot track the given trajectory. Simulation result controlled by a self-tuning controller is presented to illustrate the approach.

  • PDF

Water Temperature Prediction Study Using Feature Extraction and Reconstruction based on LSTM-Autoencoder

  • Gu-Deuk Song;Su-Hyun Park
    • Journal of the Korea Society of Computer and Information
    • /
    • v.28 no.11
    • /
    • pp.13-20
    • /
    • 2023
  • In this paper, we propose a water temperature prediction method using feature extraction and reconstructed data based on LSTM-Autoencoder. We used multivariate time series data such as sea surface water temperature in the Naksan area of the East Sea where the cold water zone phenomenon occurred, and wind direction and wind speed that affect water temperature. Using the LSTM-Autoencoder model, we used three types of data: feature data extracted through dimensionality reduction of the original data combined with multivariate data of the original data, reconstructed data, and original data. The three types of data were trained by the LSTM model to predict sea surface water temperature and evaluated the accuracy. As a result, the sea surface water temperature prediction accuracy using feature extraction of LSTM-Autoencoder confirmed the best performance with MAE 0.3652, RMSE 0.5604, MAPE 3.309%. The result of this study are expected to be able to prevent damage from natural disasters by improving the prediction accuracy of sea surface temperature changes rapidly such as the cold water zone.

A Study on International Passenger and Freight Forecasting Using the Seasonal Multivariate Time Series Models (계절형 다변량 시계열 모형을 이용한 국제항공 여객 및 화물 수요예측에 관한 연구)

  • Yoon, Ji-Seong;Huh, Nam-Kyun;Kim, Sahm-Yong;Hur, Hee-Young
    • Communications for Statistical Applications and Methods
    • /
    • v.17 no.3
    • /
    • pp.473-481
    • /
    • 2010
  • Forecasting for air demand such as international passengers and freight has been one of the main interests for air industries. This research has mainly focus on the comparison of the performances of the multivariate time series models. In this paper, we used real data such as exchange rates, oil prices and export amounts to predict the future demand on international passenger and freight.

Forecasting Exchange Rates: An Empirical Application to Pakistani Rupee

  • ASADULLAH, Muhammad;BASHIR, Adnan;ALEEMI, Abdur Rahman
    • The Journal of Asian Finance, Economics and Business
    • /
    • v.8 no.4
    • /
    • pp.339-347
    • /
    • 2021
  • This study aims to forecast the exchange rate by a combination of different models as proposed by Poon and Granger (2003). For this purpose, we include three univariate time series models, i.e., ARIMA, Naïve, Exponential smoothing, and one multivariate model, i.e., NARDL. This is the first of its kind endeavor to combine univariate models along with NARDL to the best of our knowledge. Utilizing monthly data from January 2011 to December 2020, we predict the Pakistani Rupee against the US dollar by a combination of different forecasting techniques. The observations from M1 2020 to M12 2020 are held back for in-sample forecasting. The models are then assessed through equal weightage and var-cor methods. Our results suggest that NARDL outperforms all individual time series models in terms of forecasting the exchange rate. Similarly, the combination of NARDL and Naïve model again outperformed all of the individual as well as combined models with the lowest MAPE value of 0.612 suggesting that the Pakistani Rupee exchange rate against the US Dollar is dependent upon the macro-economic fundamentals and recent observations of the time series. Further evidence shows that the combination of models plays a vital role in forecasting, as stated by Poon and Granger (2003).