English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113311/144292 (79%)
Visitors : 50937430      Online Users : 954
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 資訊管理學系 > 學位論文 >  Item 140.119/153149
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/153149


    Title: 應用於長期時間序列預測的新穎學習機制
    An Advanced Learning Mechanism for Long-Term Time-Series Forecasting
    Authors: 李鴻禧
    Lee, Hung-Hsi
    Contributors: 蔡瑞煌
    郭炳伸

    Tsaih, Rua-Huan
    Kuo, Biing-Shen

    李鴻禧
    Lee, Hung-Hsi
    Keywords: 單層線性模型
    長期時間序列預測
    多變量預測任務
    黃金價格
    概念漂移
    移動窗口機制
    單隱藏層前饋神經網絡
    自適應單隱藏層前饋神經網絡
    Single-layer linear model
    Long-term time series forecasting
    Multivariate forecasting tasks
    Gold prices
    Concept drift
    Moving window mechanism
    Single-hidden layer feedforward neural network
    Adaptive SLFN model
    Date: 2024
    Issue Date: 2024-09-04 14:03:32 (UTC+8)
    Abstract: 本研究受到Zeng, Chen, Zhang, & Xu (2023)發現單層線性模型在長期時間序列預測(LTSF)中出乎意料的有效性啟發,該模型在多變量預測任務中的表現超越了現有的基於Transformer的模型。考慮到黃金的獨特性及其作為一個獨立資產類別的地位,本研究選擇黃金價格作為研究樣本。我們關注黃金價格預測中面臨的非穩態學習挑戰——概念漂移,並探索使用移動窗口機制搭配單隱藏層前饋神經網絡(SLFN)作為一種類似單層線性模型的結構較簡單的神經網絡模型來解決此問題。為了克服模型訓練過程中遇到的梯度消失和過擬合問題,我們提出了IOSFCR機制來調整SLFN模型裡面的隱藏節點數量以增強模型的適應性和預測能力,並將此SLFN模型命名為自適應單隱藏層前饋神經網路(Adaptive SLFN)模型。本研究旨在評估IOSFCR機制對於訓練Adaptive SLFN模型的有效性,並比較其預測結果與當前在預測時間序列的領域上最先進的Transformer模型,FEDformer的性能。
    This study is inspired by the findings of Zeng, Chen, Zhang, & Xu (2023), which highlighted the unexpected efficacy of single-layer linear models in long-term time series forecasting (LTSF), outperforming existing Transformer-based models in multivariate forecasting tasks. Given gold's unique properties and its status as a distinct asset class, this research selects gold prices as the sample. We address the non-stationary learning challenge of concept drift in forecasting gold prices and explore the use of a moving window mechanism combined with a single-hidden layer feedforward neural network (SLFN) as a simpler neural network model, akin to a single-layer linear model, to solve this issue. To overcome the challenges of vanishing gradient and overfitting encountered during model training, we introduce the IOSFCR mechanism to adjust the number of hidden nodes within the SLFN model to enhance the model's adaptability and forecasting capability, and we name this enhanced SLFN model as the adaptive single-hidden layer feedforward neural network (Adaptive SLFN) model. The aim of this study is to assess the effectiveness of the IOSFCR mechanism in training the Adaptive SLFN model and to compare its forecasting performance against the current state-of-the-art Transformer model in the realm of time series forecasting, FEDformer.
    Reference: Baur, D. G., & McDermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886-1898.
    Box, G. E., Jenkins, G. M., Reinsel, G. C., & Ljung, G. M. (2015). Time series analysis: forecasting and control. John Wiley & Sons.
    Brockwell, P. J., & Davis, R. A. (Eds.). (2002). Introduction to time series and forecasting. New York, NY: Springer New York.
    Cai, J., Cheung, Y. L., & Wong, M. C. (2001). What moves the gold market?. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 21(3), 257-278.
    Cheng, S., Wu, Y., Li, Y., Yao, F., & Min, F. (2021). TWD-SFNN: Three-way decisions with a single hidden layer feedforward neural network. Information Sciences, 579, 15-32.
    Devlin, J., Chang, M. W., Lee, K., & Toutanova, K. (2018). Bert: Pre-training of deep bidirectional transformers for language understanding. arXiv preprint arXiv:1810.04805.
    Erb, C. B., & Harvey, C. R. (2013). The golden dilemma. Financial Analysts Journal, 69(4), 10-42.
    Ghosh, D., Levin, E. J., Macmillan, P., & Wright, R. E. (2004). Gold as an inflation hedge?. Studies in Economics and Finance, 22(1), 1-25.
    Granger, C. W., & Teräsvirta, T. (1993). Modelling nonlinear economic relationships. Oxford University Press.
    Guha, B., & Bandyopadhyay, G. (2016). Gold price forecasting using ARIMA model. Journal of Advanced Management Science, 4(2).
    He, Z., Zhou, J., Dai, H. N., & Wang, H. (2019, August). Gold price forecast based on LSTM-CNN model. In 2019 IEEE Intl Conf on Dependable, Autonomic and Secure Computing, Intl Conf on Pervasive Intelligence and Computing, Intl Conf on Cloud and Big Data Computing, Intl Conf on Cyber Science and Technology Congress (DASC/PiCom/CBDCom/CyberSciTech) (pp. 1046-1053). IEEE.
    Koychev, I. (2000). Gradual forgetting for adaptation to concept drift. Proceedings of ECAI 2000 Workshop on Current Issues in Spatio-Temporal Reasoning.
    Kumar, M., & Anand, M. (2014). An application of time series ARIMA forecasting model for predicting sugarcane production in India. Studies in Business and Economics, 9(1), 81-94.
    Liu, A., Zhang, G., & Lu, J. (2017, July). Fuzzy time windowing for gradual concept drift adaptation. In 2017 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE) (pp. 1-6). IEEE.
    Liu, D., & Li, Z. (2017). Gold price forecasting and related influence factors analysis based on random forest. In Proceedings of the Tenth International Conference on Management Science and Engineering Management (pp. 711-723). Springer Singapore.
    Lu, J., Liu, A., Dong, F., Gu, F., Gama, J., & Zhang, G. (2018). Learning under concept drift: A review. IEEE transactions on knowledge and data engineering, 31(12), 2346-2363.
    Mahdavi, S., & Zhou, S. (1997). Gold and commodity prices as leading indicators of inflation: Tests of long-run relationship and predictive performance. Journal of Economics and Business, 49(5), 475-489.
    O'Connor, F. A., Lucey, B. M., Batten, J. A., & Baur, D. G. (2015). The financial economics of gold—A survey. International Review of Financial Analysis, 41, 186-205.
    Pankratz, A. (2009). Forecasting with univariate Box-Jenkins models: Concepts and cases. John Wiley & Sons.
    Radford, A., Wu, J., Child, R., Luan, D., Amodei, D., & Sutskever, I. (2019). Language models are unsupervised multitask learners. OpenAI blog, 1(8), 9.
    Reboredo, J. C., & Rivera-Castro, M. A. (2014). Can gold hedge and preserve value when the US dollar depreciates?. Economic Modelling, 39, 168-173.
    Shafiee, S., & Topal, E. (2010). An overview of global gold market and gold price forecasting. Resources policy, 35(3), 178-189.
    Tsaih, R. R. (1998). An explanation of reasoning neural networks. Mathematical and computer modelling, 28(2), 37-44.
    Tully, E., & Lucey, B. M. (2007). A power GARCH examination of the gold market. Research in International Business and Finance, 21(2), 316-325.
    Vaswani, A., Shazeer, N., Parmar, N., Uszkoreit, J., Jones, L., Gomez, A. N., ... & Polosukhin, I. (2017). Attention is all you need. Advances in neural information processing systems, 30.
    Wang, Y. S., & Chueh, Y. L. (2013). Dynamic transmission effects between the interest rate, the US dollar, and gold and crude oil prices. Economic Modelling, 30, 792-798.
    Zhang, G. P. (2003). Time series forecasting using a hybrid ARIMA and neural network model. Neurocomputing, 50, 159-175.
    Zeng, A., Chen, M., Zhang, L., & Xu, Q. (2023, June). Are transformers effective for time series forecasting?. In Proceedings of the AAAI conference on artificial intelligence (Vol. 37, No. 9, pp. 11121-11128).
    Zhou, T., Ma, Z., Wen, Q., Wang, X., Sun, L., & Jin, R. (2022, June). Fedformer: Frequency enhanced decomposed transformer for long-term series forecasting. In International conference on machine learning (pp. 27268-27286). PMLR.
    Žliobaitė, I. (2010). Learning under concept drift: an overview. arXiv preprint arXiv:1010.4784.
    Description: 碩士
    國立政治大學
    資訊管理學系
    111356013
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0111356013
    Data Type: thesis
    Appears in Collections:[資訊管理學系] 學位論文

    Files in This Item:

    File Description SizeFormat
    601301.pdf1633KbAdobe PDF0View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback