Search Results (103)

This study applies Gradient Boosting Machines (GBMs) and principal component regression (PCR) to forecast the closing price of the Johannesburg Stock Exchange (JSE) All-Share Index (ALSI), using daily data from 2009 to 2024, sourced from the Wall Street Journal. The models are evaluated under three training–testing split ratios to assess short-term forecasting performance. Forecast accuracy is assessed using standard error metrics: mean absolute error (MAE), root mean square error (RMSE), mean absolute percentage error (MAPE), and mean absolute scaled error (MASE). Across all test splits, the GBM consistently achieves lower forecast errors than PCR, demonstrating superior predictive accuracy. To validate the significance of this performance difference, the Diebold–Mariano (DM) test is applied, confirming that the forecast errors from the GBM are statistically significantly lower than those of PCR at conventional significance levels. These findings highlight the GBM’s strength in capturing nonlinear relationships and complex interactions in financial time series, particularly when using features such as the USD/ZAR exchange rate, oil, platinum, and gold prices, the S&P 500 index, and calendar-based variables like month and day. Future research should consider integrating additional macroeconomic indicators and exploring alternative or hybrid forecasting models to improve robustness and generalisability across different market conditions. Full article

Understanding the price dynamics of oil futures is crucial for advancing green finance strategies and supporting sustainable energy transitions. This study investigates the macroeconomic and energy market determinants of oil futures prices through Granger causality, cointegration analysis, and the error correction model, using daily data. It focuses on the influence of economic development levels, exchange rate fluctuations, and inter-energy price linkages. The empirical findings indicate that (1) oil futures prices exhibit strong correlations with other energy prices, macroeconomic factors, and exchange rate variables; (2) economic development significantly affects oil futures prices, while exchange rate impacts are statistically insignificant based on the daily data analyzed; (3) there exists a stable long-term equilibrium relationship between oil futures prices and variables representing economic activity, exchange rates, and energy market trends; (4) oil futures prices exhibit significant short-term dynamics while adjusting steadily toward a long-run equilibrium driven by macroeconomic and energy market fundamentals. By enhancing the accuracy of oil futures price forecasting, this study offers practical insights for managing financial risks associated with fossil energy markets and contributes to the formulation of low-carbon investment strategies. The findings provide a valuable reference for integrating energy pricing models into sustainable finance and climate-aligned portfolio decisions. Full article

Time series forecasting is critical for decision-making in numerous domains, yet achieving high accuracy across both short-term and long-term horizons remains challenging. In this paper, we propose a general hybrid forecasting framework that integrates a traditional statistical model (ARIMA) with modern deep learning models (such as LSTM and Transformer). The core of our approach is a novel multi-scale prediction mechanism that combines the strengths of both model types to better capture short-range patterns and long-range dependencies. We design a dual-stage forecasting process, where a classical time series component first models transparent linear trends and seasonal patterns, and a deep neural network then learns complex nonlinear residuals and long-term contexts. The two outputs are fused through an adaptive mechanism to produce the final prediction. We evaluate the proposed framework on eight public datasets (electricity, exchange rate, weather, traffic, illness, ETTh1/2, and ETTm1/2) covering diverse domains and scales. The experimental results show that our hybrid method consistently outperforms stand-alone models (ARIMA, LSTM, and Transformer) and recent, specialized forecasters (Informer and Autoformer) in both short-horizon and long-horizon forecasts. An ablation study further demonstrates the contribution of each module in the framework. The proposed approach not only achieves state-of-the-art accuracy across varied time series but also offers improved interpretability and robustness, suggesting a promising direction for combining statistical and deep learning techniques in time series forecasting. Full article

This paper examines the relationship between dependence and independence alternatives in general stochastic processes and explores the duality between the true (yet unknown) stochastic process and the functional representation that fits the observed data. We demonstrate that the solution depends on its historic realizations, challenging existing theoretical frameworks that assume independence between the solution and the history of the true process. Under orthogonality conditions, we investigate parameter spaces within data-generating processes and establish conditions under which data exhibit mean-reverting, random, cyclical, history-dependent, or explosive behaviors. We validate our theoretical framework through empirical analysis of an extensive dataset comprising daily prices from the S&P500, 10-year US Treasury bonds, the EUR/USD exchange rate, Brent oil, and Bitcoin from 1 January 2002 to 1 February 2024. Our out-of-sample predictions, covering the period from 17 February 2019 to 1 February 2024, demonstrate the model’s exceptional forecasting capability, yielding correct predictions with between 73% and 92% accuracy, significantly outperforming naïve and moving average models, which only achieved 47% to 54% accuracy. Full article

This study proposes a hybrid forecasting model that integrates the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a Long Short-Term Memory (LSTM) neural network to estimate Value at Risk (VaR) in the Rwandan foreign exchange market. The model is designed to capture both volatility clustering and temporal dependencies in daily exchange rate returns. Using daily data on USD, EUR, and GBP from 2012 to 2024, we evaluate the model’s performance relative to standalone GARCH(1,1) and LSTM models. Empirical results show that the hybrid model improves VaR estimation accuracy by up to 10%, especially during periods of elevated market volatility. These improvements are validated through MSE, MAE, and backtesting statistics. The enhanced accuracy is particularly relevant in emerging markets, where exchange rate dynamics are highly nonlinear and sensitive to external shocks. The proposed approach offers practical insights for financial institutions and regulators seeking to improve market risk assessment in emerging economies. Full article

This paper explores the impact of trade openness and exchange rate volatility on South Africa’s industrial growth from 1980 to 2024 through a hybrid econometric framework combining Autoregressive Distributed Lag (ARDL) and Structural Vector Autoregression (SVAR) models. It captures both long-term relationships and short-term economic patterns; the analysis reveals that gross domestic product (GDP) is the most significant and consistent driver of industrial value added (IVAD), while trade openness and currency volatility exert limited standalone effects. Structural shocks, notably the 2008 global financial crisis and the COVID-19 pandemic, had significant negative short-term impacts on industrial performance, highlighting systemic vulnerabilities. Robustness tests, including rolling window ARDL and first-difference GDP estimation, confirm the persistence of these relationships. Impulse response functions and forecast error variance decomposition underscore the transient and moderate influence of external shocks compared with the dominant role of internal macroeconomic fundamentals. These findings indicate that liberalisation and exchange rate flexibility must be embedded within a broader developmental strategy underpinned by institutional strength, resilience building, and sustainability principles. This study provides fresh insights supporting policy frameworks that prioritise domestic industrial capacity, macroeconomic stability, and alignment with Sustainable Development Goal 9—inclusive and sustainable industrialisation. Full article

Bitcoin’s role in global finance has rapidly expanded with increasing institutional participation, prompting new questions about its linkage to macroeconomic variables. This study thoughtfully integrates a Bayesian Markov Chain Monte Carlo (MCMC) covariate selection process within homogeneous and non-homogeneous Hidden Markov Models (HMMs) to analyze 16 macroeconomic and Bitcoin-specific factors from 2016 to 2024. The proposed method integrates likelihood penalties to refine variable selection and employs a rolling-window bootstrap procedure for 1-, 5-, and 30-step-ahead forecasting. Results indicate a fundamental shift: while early Bitcoin pricing was primarily driven by technical and supply-side factors (e.g., halving cycles, trading volume), later periods exhibit stronger ties to macroeconomic indicators such as exchange rates and major stock indices. Heightened volatility aligns with significant events—including regulatory changes and institutional announcements—underscoring Bitcoin’s evolving market structure. These findings demonstrate that integrating Bayesian MCMC within a regime-switching model provides robust insights into Bitcoin’s deepening connection with traditional financial forces. Full article

Amidst global economic fluctuations and escalating geopolitical risks, gold futures, as a pivotal safe-haven asset, demonstrate price dynamics that directly impact investor decision-making and risk mitigation effectiveness. Traditional forecasting models face significant limitations in capturing long-term trends, addressing abrupt volatility, and mitigating multi-source noise within complex market environments characterized by nonlinear interactions and extreme events. Current research predominantly focuses on single-model approaches (e.g., ARIMA or standalone neural networks), inadequately addressing the synergistic effects of multimodal market signals (e.g., cross-market index linkages, exchange rate fluctuations, and policy shifts) and lacking the systematic validation of model robustness under extreme events. Furthermore, feature selection often relies on empirical assumptions, failing to uncover non-explicit correlations between market factors and gold futures prices. A review of the global literature reveals three critical gaps: (1) the insufficient integration of temporal dependency and global attention mechanisms, leading to imbalanced predictions of long-term trends and short-term volatility; (2) the neglect of dynamic coupling effects among cross-market risk factors, such as energy ETF-metal market spillovers; and (3) the absence of hybrid architectures tailored for high-frequency noise environments, limiting predictive utility for decision support. This study proposes a three-stage LSTM–Transformer–XGBoost fusion framework. Firstly, XGBoost-based feature importance ranking identifies six key drivers from thirty-six candidate indicators: the NASDAQ Index, S&P 500 closing price, silver futures, USD/CNY exchange rate, China’s 1-year Treasury yield, and Guotai Zhongzheng Coal ETF. Second, a dual-channel deep learning architecture integrates LSTM for long-term temporal memory and Transformer with multi-head self-attention to decode implicit relationships in unstructured signals (e.g., market sentiment and climate policies). Third, rolling-window forecasting is conducted using daily gold futures prices from the Shanghai Futures Exchange (2015–2025). Key innovations include the following: (1) a bidirectional LSTM–Transformer interaction architecture employing cross-attention mechanisms to dynamically couple global market context with local temporal features, surpassing traditional linear combinations; (2) a Dynamic Hierarchical Partition Framework (DHPF) that stratifies data into four dimensions (price trends, volatility, external correlations, and event shocks) to address multi-driver complexity; (3) a dual-loop adaptive mechanism enabling endogenous parameter updates and exogenous environmental perception to minimize prediction error volatility. This research proposes innovative cross-modal fusion frameworks for gold futures forecasting, providing financial institutions with robust quantitative tools to enhance asset allocation optimization and strengthen risk hedging strategies. It also provides an interpretable hybrid framework for derivative pricing intelligence. Future applications could leverage high-frequency data sharing and cross-market risk contagion models to enhance China’s influence in global gold pricing governance. Full article

Efficient solid–liquid separation is crucial in industries like mining, but traditional chamber filter presses depend heavily on manual monitoring, leading to inefficiencies, downtime, and resource wastage. This paper introduces a machine learning-powered digital twin framework to improve the operational flexibility and predictive control of a traditional chamber filter press. A key challenge addressed is the degradation of the filter medium due to repeated cycles and clogging, which reduces filtration efficiency. To solve this, a neural network-based predictive model was developed to forecast operational parameters, such as pressure and flow rates, under various conditions. This predictive capability allows for optimized filtration cycles, reduced downtime, and improved process efficiency. Additionally, the model predicts the filter medium’s lifespan, aiding in maintenance planning and resource sustainability. The digital twin framework enables seamless data exchange between filter press sensors and the predictive model, ensuring continuous updates to the training data and enhancing accuracy over time. Two neural network architectures, feedforward and recurrent, were evaluated. The recurrent neural network outperformed the feedforward model, demonstrating superior generalization. It achieved a relative $L^2$-norm error of $5\%$ for pressure and $9.3\%$ for flow rate prediction on partially known data. For completely unknown data, the relative errors were $18.4\%$ and $15.4\%$, respectively. Qualitative analysis showed strong alignment between predicted and measured data, with deviations within a confidence band of $8.2\%$ for pressure and $4.8\%$ for flow rate predictions. This work contributes an accurate predictive model, a new approach to predicting filter medium cycle impacts, and a real-time interface for model updates, ensuring adaptability to changing operational conditions. Full article

Tourism is a critical sector for economic growth and cultural exchange, particularly for destinations like Turkey, which consistently attracts millions of visitors annually. This study investigates the dynamics of tourism demand in Turkey between 2008 and 2024, with a focus on seasonality, long-term trends, and predictive modeling accuracy. Time-series data were analyzed, and the impacts of economic indicators and digital search trends were evaluated using SARIMA and SARIMAX models. The results demonstrate that the SARIMA models outperformed the SARIMAX models, highlighting the dominance of intrinsic seasonal patterns over external regressors, such as exchange rates and inflation. The findings emphasize that geographic proximity and cultural similarities drive consistent tourist flows, while behavioral data like Google Trends provide supplementary insights into demand shifts. However, economic variables showed limited short-term predictive power. These results underscore the importance of prioritizing time-series structures in forecasting frameworks while complementing them with behavioral indicators for enhanced accuracy. This study contributes to the literature by addressing a critical gap in understanding how various factors influence tourism demand in Turkey and offers practical implications for policymakers and tourism planners to optimize strategic planning and resource allocation, ensuring sustainable tourism growth. Future research should explore hybrid models that incorporate sentiment-driven data and cultural factors for more robust forecasting. Full article

Accurate financial time series forecasting is critical for effective decision making in areas such as risk management, portfolio optimization, and trading. Given the complexity and volatility of financial markets, traditional forecasting methods often fail to capture the underlying dynamics. Recent advances in artificial neural network (ANN) forecasting research indicate that ANNs present a valuable alternative to traditional linear methods, such as autoregressive integrated moving average (ARIMA). However, time series are typically influenced by a combination of factors which require to consider both linear and non-linear characteristics. This paper proposes a new hybrid model that integrates ARIMA and ANN models such as long short-term memory and gated recurrent unit neural network to leverage the distinct strengths of both linear and non-linear modeling. Moreover, the goodness of the proposed model is evaluated through a comparative analysis of the ARIMA, ANN and Zhang hybrid model, using three financial datasets (i.e., Unicredit SpA stock price, EUR/USD exchange rate and Bitcoin closing price). Various absolute and relative error metrics, computed to evaluate the performance of models, can support the use of the proposed approach. The Diebold–Mariano (DM) test is also implemented to asses the significance of the obtained differences of the hybrid model with respect to the other competing models. Full article

Forecasting the price of cryptocurrencies is a notoriously hard and significant problem, due to the rapid market growth and high volatility. In this article, we propose a methodology for predicting future values of cryptocurrency exchange rates by developing a Non-linear Autoregressive with Exogenous Inputs (NARX) prediction model that uses the most adequate external information. The exogenous variables considered are historical values of the exchange rate and a series of technical indicators. The selection of the most relevant external inputs is based on the computation of the mutual information indicator and estimated using the k-nearest neighbor method. The methodology employs a fine-tuned Long Short-Term Memory (LSTM) neural network as the regressor. We have used quantitative and trend accuracy measures to compare the proposed method against other state-of-the-art LSTM-based models. In addition, regarding the input selection process, the proposed approach was compared against the most commonly used one, which is based on the cross-correlation coefficient. A long series of experiments and statistical analyses proved that the proposed methodology is highly accurate and the resulting model outperforms the state-of-the-art LSTM-based models. Full article

Current research on futures price prediction focuses on the autocorrelation of historical prices, yet the resulting predictions often suffer from issues of inaccuracy and lag. This paper uses Chinese corn futures as the subject of study. First, we identify key influencing factors, such as Chinese soybean futures, U.S. soybean futures, and the U.S.-China exchange rate, that exhibit ‘predictive causality’ with corn futures prices through the Granger causality test. We then apply the sample convolution and interaction network (SCINet) to perform both single-step and multi-step predictions of futures prices. The experimental results show that incorporating key influencing factors significantly improves prediction accuracy. For instance, in the single-step prediction, combining historical prices with Chinese soybean futures prices reduces the MAE and RMSE values by 5.12% and 3.45%, respectively, compared to using historical prices alone. Furthermore, the SCINet model outperforms traditional models such as temporal convolutional networks (TCN), gated recurrent units (GRU), and long short-term memory (LSTM) networks when based solely on historical prices. This study validates the effectiveness of key influencing factors in forecasting Chinese corn futures prices and demonstrates the advantages of the SCINet model in futures price prediction. The findings provide valuable insights for optimising the agricultural futures market and enhancing the ability to predict price risks. Full article

The purpose of this study is to find symmetries and asymmetries in the exchange rate and macroeconomic fundamentals of advanced European markets, namely Denmark, the Euro Area, and United Kingdom, for the period of 2011 to 2022 via application of the NARDL technique. The findings reveal that interest rate affects DKK exchange rate asymmetrically in the long and short run, whereas money supply affects it in the short run. Foreign reserves are found to be helpful for all three currencies in stabilizing the exchange rate. A decline in gold price weakens GBP, DKK, and EUR in the long run. Previous studies suggest that the existence of asymmetrical relationships justifies the selection of NARDL for empirical analysis. This study makes a contribution to the existing literature, as it proves that forecasting via NARDL is also robust for analysis. The findings have significant policy implications for financial applications. Full article

The spatial extent of semi-arid hot regions is forecasted to grow through the twenty-first century, complicating restoration and reforestation plans. In arid and semi-arid climates, seedlings are more susceptible to transplant shock due to lower soil moisture throughout the year. Determining strategies to reduce seedling stress and improve survival post-planting will be paramount to continued reforestation efforts in a changing climate. We quantified seedling physiological, morphological, and field performance (mortality and growth) response for five species native to the semi-arid region of South Texas (Erythrina herbacea L., Celtis pallida Torr., Fraxinus berlandieriana DC, Malpighia glabra L., and Citharexylum berlandieri B.L Rob) to an antitranspirant (abscisic acid), drought, and elevated CO₂. We examined post-treatment seedling gas exchange, non-structural carbohydrates, osmolality, root structure, and stomatal density and evaluated mortality and growth rate on a sample of the treatment population. For elevated CO₂ and drought hardening treatments, seedling gas exchange, solute content, specific root length, and stomatal density varied by species, while abscisic acid strongly reduced transpiration and stomatal conductance in all species. However, these physiological and morphological differences did not translate to reduced mortality or improved growth rate due to high herbivory and above-normal precipitation after planting precluding seedlings from stress. We conclude that the simpler antitranspirant approach, rather than the more logistically challenging eCO₂, has the potential to reduce drought-related transplant shock but requires more widespread testing. Full article