Search Results (765)

This study investigates the predictive performance of financial indicators in forecasting stock prices within the automotive sector using an adaptive neuro-fuzzy inference system (ANFIS). In light of the growing complexity of global financial markets and the increasing demand for automated, data-driven forecasting models, this research aims to identify those financial ratios that most accurately reflect price dynamics in this specific industry. The model incorporates four widely used financial indicators, return on assets (ROA), return on equity (ROE), earnings per share (EPS), and profit margin (PM), as inputs. The analysis is based on real financial and market data from automotive companies, and model performance was assessed using RMSE, nRMSE, and confidence intervals. The results indicate that the full model, including all four indicators, achieved the highest accuracy and prediction stability, while the exclusion of ROA or ROE significantly deteriorated model performance. These findings challenge the weak-form efficiency hypothesis and underscore the relevance of firm-level fundamentals in stock price formation. This study’s sector-specific approach highlights the importance of tailoring predictive models to industry characteristics, offering implications for both financial modeling and investment strategies. Future research directions include expanding the indicator set, increasing the sample size, and testing the model across additional industry domains. Full article

This paper examines the changing role of emissions trading systems (ETSs) within the macro-financial framework of energy markets, emphasizing price dynamics and systemic spillovers. Utilizing monthly data from seven ETS jurisdictions spanning January 2021 to December 2024 (N = 287 observations after log transformation and first differencing), which includes four auction-based markets (United States, Canada, United Kingdom, South Korea), two secondary markets (China, New Zealand), and a government-set fixed-price scheme (Germany), this research estimates a panel vector autoregression (PVAR) employing a Common Correlated Effects (CCE) model and augments it with machine learning analysis utilizing XGBoost and explainable AI methodologies. The PVAR-CEE reveals numerous unexpected findings related to carbon markets: ETS returns exhibit persistence with an autoregressive coefficient of −0.137 after a four-month lag, while increasing inflation results in rising ETS after the same period. Furthermore, ETSs generate spillover effects in the real economy, as elevated ETSs today forecast a 0.125-point reduction in unemployment one month later and a 0.0173 increase in inflation after two months. Impulse response analysis indicates that exogenous shocks, including Brent oil prices, policy uncertainty, and financial volatility, are swiftly assimilated by ETS pricing, with effects dissipating completely within three to eight months. XGBoost models ascertain that policy uncertainty and Brent oil prices are the most significant predictors of one-month-ahead ETSs, whereas ESG factors are relevant only beyond certain thresholds and in conditions of low policy uncertainty. These findings establish ETS markets as dynamic transmitters of macroeconomic signals, influencing energy management, labor changes, and sustainable finance under carbon pricing frameworks. Full article

The accurate estimation of urban property values is a key challenge for appraisers, market participants, financial institutions, and urban planners. In recent years, machine learning (ML) techniques have emerged as promising tools for price forecasting due to their ability to model complex relationships among variables. However, their application raises two main critical issues: (i) the risk of overfitting, especially with small datasets or with noisy data; (ii) the interpretive issues associated with the “black box” nature of many models. Within this framework, this paper proposes a methodological approach that addresses both these issues, comparing the predictive performance of three ML algorithms—k-Nearest Neighbors (kNN), Random Forest (RF), and the Artificial Neural Network (ANN)—applied to the housing market in the city of Salerno, Italy. For each model, overfitting is preliminarily assessed to ensure predictive robustness. Subsequently, the results are interpreted using explainability techniques, such as SHapley Additive exPlanations (SHAPs) and Permutation Feature Importance (PFI). This analysis reveals that the Random Forest offers the best balance between predictive accuracy and transparency, with features such as area and proximity to the train station identified as the main drivers of property prices. kNN and the ANN are viable alternatives that are particularly robust in terms of generalization. The results demonstrate how the defined methodological framework successfully balances predictive effectiveness and interpretability, supporting the informed and transparent use of ML in real estate valuation. Full article

Forestry carbon sinks play a crucial role in mitigating climate change and protecting ecosystems, significantly contributing to the development of carbon trading systems. Remote sensing technology has become increasingly important for monitoring carbon sinks, as it allows for precise measurement of carbon storage and ecological changes, which are vital for forecasting carbon prices. Carbon prices fluctuate due to the interaction of various factors, exhibiting non-stationary characteristics and inherent uncertainties, making accurate predictions particularly challenging. To address these complexities, this study proposes a method for predicting carbon trading prices influenced by multiple factors. We introduce a Decomposition (DECOMP) module that separates carbon price data and its influencing factors into trend and cyclical components. To manage non-stationarity, we propose the KAN with Multi-Domain Diffusion (KAN-MD) module, which efficiently extracts relevant features. Furthermore, a Wave-MH attention module, based on wavelet transformation, is introduced to minimize interference from uncertainties, thereby enhancing the robustness of the model. Empirical research using data from the Hubei carbon trading market demonstrates that our model achieves superior predictive accuracy and resilience to fluctuations compared to other benchmark methods, with an MSE of 0.204% and an MAE of 0.0277. These results provide reliable support for pricing carbon financial derivatives and managing associated risks. Full article

The BP (Back-Propagation) neural network model (hereafter referred to as the BP model) often gets stuck in local optima when predicting China’s silicon wafer price, which hurts the accuracy of the forecasts. This study addresses the issue by enhancing the BP model. It integrates the principles of genetic algorithm (GA) with particle swarm optimization (PSO) to develop a new model called the GA-PSO-BP. This study also considers the material price from both the supply and demand sides of the photovoltaic industry. These prices are important factors in China’s silicon wafer price prediction. This research indicates that improving the BP model by integrating GA allows for a broader exploration of potential solution spaces. This approach helps to prevent local minima and identify the optimal solution. The BP model converges more quickly by using PSO for weight initialization. Additionally, the method by which particles share information decreases the probability of being confined to local optima. The upgraded GA-PSO-BP model demonstrates improved generalization capabilities and makes more accurate predictions. The MAE (Mean Absolute Error) value of the GA-PSO-BP model is 31.01% lower than those of the standalone BP model and also falls by 19.36% and 16.28% relative to the GA-BP and PSO-BP models, respectively. The smaller the value, the closer the prediction result of the model is to the actual value. This model has proven effective and superior in China’s silicon wafer price prediction. This capability makes it an essential resource for market analysis and decision-making within the silicon wafer industry. Full article

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

Electricity markets in Europe have undergone major changes in the last decade, mainly due to the increasing share of variable renewable energy sources (RES), changing demand patterns, and geopolitical factors—particularly the war in Ukraine, tensions over energy imports, and disruptions in natural gas supplies. These changes have led to increased electricity price volatility, reducing the reliability of traditional forecasting tools. This research analyses the potential of static and adaptive linear regression as electricity price forecasting tools in the context of three countries with different energy mixes: Germany, France and the Czech Republic. The static regression approach was compared with an adaptive approach based on incremental model updates at monthly intervals. Testing was carried out in three different scenarios combining stable and turbulent market periods. The quantitative results showed that the adaptive model achieved a lower MAE and RMSE, especially when trained on data from high-volatility periods. However, models trained under turbulent conditions performed poorly in stable environments due to a shift in market dynamics. The results supported several of the hypotheses formulated and demonstrated the need for localised, flexible and continuously updated forecasting. Limitations of the adaptive approach and suggestions for future research, including changing the length of training windows and the use of seasonal models, are also discussed. The research confirms that modern markets require adaptive analytical approaches that account for changing RES dynamics and country specificities. Full article

Accurate carbon price forecasting is essential for market stability, risk management, and policy-making. To address the nonlinear, non-stationary, and multiscale nature of carbon prices, this paper proposes a forecasting framework integrating secondary decomposition, two-stage feature selection, and dynamic ensemble learning. Firstly, the original price series is decomposed into intrinsic mode functions (IMFs), using complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN). The IMFs are then grouped into low- and high-frequency components based on multiscale entropy (MSE) and K-Means clustering. To further alleviate mode mixing in the high-frequency components, an improved variational mode decomposition (VMD) optimized by particle swarm optimization (PSO) is applied for secondary decomposition. Secondly, a two-stage feature-selection method is employed, in which the partial autocorrelation function (PACF) is used to select relevant lagged features, while the maximal information coefficient (MIC) is applied to identify key variables from both historical and external data. Finally, this paper introduces a dynamic integration module based on sliding windows and sequential least squares programming (SLSQP), which can not only adaptively adjust the weights of four base learners but can also effectively leverage the complementary advantages of each model and track the dynamic trends of carbon prices. The empirical results of the carbon markets in Hubei and Guangdong indicate that the proposed method outperforms the benchmark model in terms of prediction accuracy and robustness, and the method has been tested by Diebold Mariano (DM). The main contributions are the improved feature-extraction process and the innovative use of a sliding window-based SLSQP method for dynamic ensemble weight optimization. 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

The accurate estimation of electricity supply costs has become increasingly relevant due to growing demand, variable generation sources, and regulatory changes in emerging power systems. This study models the average unit cost of electricity supply (USD/kWh) in Ecuador using multiple linear regression techniques and ARIMAX forecasting, based on monthly data from 2018 to 2024. The regression models incorporate variables such as energy demand, generation mix, transmission costs, and regulatory indices. To enhance model robustness, we apply three variable selection strategies: correlation analysis, PCA, and expert-driven selection. Results show that all models explain over 70% of price variability, with the highest-performing regression model achieving $R^2=0.9887$. ARIMAX models were subsequently implemented using regression-based forecasts as exogenous inputs. The ARIMAX model based on highly correlated variables achieved a MAPE below 5%, showing high predictive accuracy. These findings support the use of hybrid statistical models for informed policy-making, tariff planning, and operational cost forecasting in structurally constrained energy markets. Full article

Addressing the stock market forecasting as a classification problem, where the model predicts the direction of stock price movement, is crucial for both traders and investors, as it can help them to allocate limited resources to the most promising investment opportunities. In this study, we propose a hybrid system that uses a Long Short-Term Memory (LSTM) network and sentiment analysis for predicting the direction of the movement of the stock price. The proposed hybrid system is fed with historical stock data and regulatory news announcements for producing more reliable responses. LSTM networks are well suited to handling time series data with long-term dependencies, while the sentiment analyser provides insights into how news impacts stock price movements by classifying business news into classes. By integrating both the LSTM network and the sentiment classifier, the proposed hybrid system delivers more accurate forecasts. Our experiments demonstrate that the proposed hybrid system outperforms other competing configurations. Full article

Financial forecasting is a research and practical challenge, providing meaningful economic and strategic insights. While Machine Learning (ML) models are employed in various studies to examine the impact of technical and sentiment factors on financial markets forecasting, in this work, macroeconomic indicators are also combined to forecast the Standard & Poor’s (S&P) 500 index. Initially, contextual data are scored using TextBlob and pre-trained DistilBERT-base-uncased models, and then a combined dataset is formed. Followed by preprocessing, feature engineering and selection techniques, three corresponding datasets are generated and their impact on future prices is examined, by employing ML models, such as Linear Regression (LR), Random Forest (RF), Gradient Boosting (GB), XGBoost, and Multi-Layer Perceptron (MLP). LR and MLP show robust results with high R² scores, close to 0.998, and low error MSE and MAE rates, averaging at 350 and 13 points, respectively, across both training and test datasets, with technical indicators contributing the most to the prediction. While other models also perform very well under different dataset combinations, overfitting challenges are evident in the results, even after additional hyperparameter tuning. Potential limitations are highlighted, motivating further exploration and adaptation techniques in financial modeling that enhance predictive capabilities. Full article

Accurate carbon market price prediction is crucial for promoting a low-carbon economy and sustainable engineering. Traditional models often face challenges in effectively capturing the multifractality inherent in carbon market prices. Inspired by the self-similarity and scale invariance inherent in fractal structures, this study proposes a novel multifractal-aware model, MF-Transformer-DEC, for carbon market price prediction. The multi-scale convolution (MSC) module employs multi-layer dilated convolutions constrained by shared convolution kernel weights to construct a scale-invariant convolutional network. By projecting and reconstructing time series data within a multi-scale fractal space, MSC enhances the model’s ability to adapt to complex nonlinear fluctuations while significantly suppressing noise interference. The fractal attention (FA) module calculates similarity matrices within a multi-scale feature space through multi-head attention, adaptively integrating multifractal market dynamics and implicit associations. The dynamic error correction (DEC) module models error commonality through variational autoencoder (VAE), and uncertainty-guided dynamic weighting achieves robust error correction. The proposed model achieved an average R² of 0.9777 and 0.9942 for 7-step ahead predictions on the Shanghai and Guangdong carbon price datasets, respectively. This study pioneers the interdisciplinary integration of fractal theory and artificial intelligence methods for complex engineering analysis, enhancing the accuracy of carbon market price prediction. The proposed technical pathway of “multi-scale deconstruction and similarity mining” offers a valuable reference for AI-driven fractal modeling. Full article

This paper examines cryptocurrency shock transmission to financial markets and the macroeconomy using a Bayesian structural VAR with Pandemic Priors from 2015 to 2024. By affecting overall risk appetite, cryptocurrency price shocks generate positive financial market spillovers, accounting for 18% of equity and 27% of commodity price fluctuations. Real economic effects are significant in driving investment but remain limited, contributing only 4% to unemployment and 6% to industrial production variance. However, cryptocurrency shocks explain 18% of price-level forecast error variance at long horizons. Narrative analysis reveals sentiment and technology as primary shock drivers. These findings demonstrate cryptocurrency’s deep financial system integration with important inflation implications for monetary policy. Full article

The stock price of PT Indika Energy Tbk (INDY) reflects the dynamics of Indonesia’s energy sector, which is heavily influenced by global coal price fluctuations, national energy policies, and geopolitical conditions. This study aimed to develop an accurate forecasting model to predict the movement of INDY stock prices using a hybrid machine learning approach called CNN-BiGRU-AM. The objective was to generate future forecasts of INDY stock prices based on historical data from 28 August 2019 to 24 February 2025. The method applied a hybrid model combining a Convolutional Neural Network (CNN), Bidirectional Gated Recurrent Unit (BiGRU), and an Attention Mechanism (AM) to address the nonlinear, volatile, and noisy characteristics of stock data. The results showed that the CNN-BiGRU-AM model achieved high accuracy with a Mean Absolute Percentage Error (MAPE) below 3%, indicating its effectiveness in capturing long-term patterns. The CNN helped extract local features and reduce noise, the BiGRU captured bidirectional temporal dependencies, and the Attention Mechanism allocated weights to the most relevant historical information. The model remained robust even when stock prices were sensitive to external factors such as global commodity trends and geopolitical events. This study contributes to providing more accurate forecasting solutions for companies, investors, and stakeholders in making strategic decisions. It also enriches the academic literature on the application of deep learning techniques in financial data analysis and stock market forecasting within a complex and dynamic environment. Full article