A model for U.S. macroeconomic time series that has been used for forecasting for several years is described in some detail. The model is a multivariate Bayesian autoregression, with allowance for conditional heteroskedasticity, stochastic time-variation in parameters, and non-normality of disturbances. It specifies the prior distribution in ways that improve on previous Bayesian vector autoregression specifications in realism and forecasting performance. The model's record of forecasting in recent years is displayed and discussed.

/pdf/a-nine-variable-probabilistic-macroeconomic-forecasting-23tazx0d6l.pdf

A Nine-Variable Probabilistic Macroeconomic Forecasting Model

During the COVID-19 pandemic, many research studies have been conducted to examine the impact of the outbreak on the financial sector, especially on cryptocurrencies. Social media, such as Twitter, plays a significant role as a meaningful indicator in forecasting the Bitcoin (BTC) prices. However, there is a research gap in determining the optimal preprocessing strategy in BTC tweets to develop an accurate machine learning prediction model for bitcoin prices. This paper develops different text preprocessing strategies for correlating the sentiment scores of Twitter text with Bitcoin prices during the COVID-19 pandemic. We explore the effect of different preprocessing functions, features, and time lengths of data on the correlation results. Out of 13 strategies, we discover that splitting sentences, removing Twitter-specific tags, or their combination generally improve the correlation of sentiment scores and volume polarity scores with Bitcoin prices. The prices only correlate well with sentiment scores over shorter timespans. Selecting the optimum preprocessing strategy would prompt machine learning prediction models to achieve better accuracy as compared to the actual prices.

A complete vader-based sentiment analysis of bitcoin (BTC) tweets during the ERA of COVID-19

Predicting market movement direction for bitcoin: A comparison of time series modeling methods

Cryptocurrencies can be considered as mathematical money. As the most famous cryptocurrency, the Bitcoin price forecasting model is one of the popular mathematical models in financial technology because of its large price fluctuations and complexity. This paper proposes a novel ensemble deep learning model to predict Bitcoin’s next 30 min prices by using price data, technical indicators and sentiment indexes, which integrates two kinds of neural networks, long short-term memory (LSTM) and gate recurrent unit (GRU), with stacking ensemble technique to improve the accuracy of decision. Because of the real-time updates of comments on social media, this paper uses social media texts instead of news websites as the source data of public opinion. It is processed by linguistic statistical method to form the sentiment indexes. Meanwhile, as a financial market forecasting model, the model selects the technical indicators as input as well. Real data from September 2017 to January 2021 is used to train and evaluate the model. The experimental results show that the near-real time prediction has a better performance, with a mean absolute error (MAE) 88.74% better than the daily prediction. The purpose of this work is to explain our solution and show that the ensemble method has better performance and can better help investors in making the right investment decision than other traditional models.

/pdf/a-stacking-ensemble-deep-learning-model-for-bitcoin-price-bdeyi33x.pdf

A Stacking Ensemble Deep Learning Model for Bitcoin Price Prediction Using Twitter Comments on Bitcoin

The increasing number of car accidents is a significant issue in current transportation systems. According to the World Health Organization (WHO), road accidents are the eighth highest top cause of death around the world. More than 80% of road accidents are caused by distracted driving, such as using a mobile phone, talking to passengers, and smoking. A lot of efforts have been made to tackle the problem of driver distraction; however, no optimal solution is provided. A practical approach to solving this problem is implementing quantitative measures for driver activities and designing a classification system that detects distracting actions. In this paper, we have implemented a portfolio of various ensemble deep learning models that have been proven to efficiently classify driver distracted actions and provide an in-car recommendation to minimize the level of distractions and increase in-car awareness for improved safety. This paper proposes E2DR, a new scalable model that uses stacking ensemble methods to combine two or more deep learning models to improve accuracy, enhance generalization, and reduce overfitting, with real-time recommendations. The highest performing E2DR variant, which included the ResNet50 and VGG16 models, achieved a test accuracy of 92% as applied to state-of-the-art datasets, including the State Farm Distracted Drivers dataset, using novel data splitting strategies.

/pdf/e2dr-a-deep-learning-ensemble-based-driver-distraction-2zlwy4jc.pdf

E2DR: A Deep Learning Ensemble-Based Driver Distraction Detection with Recommendations Model

The Bitcoin (BTC) market presents itself as a new unique medium currency, and it is often hailed as the “currency of the future”. Simulating the BTC market in the price discovery process presents a unique set of market mechanics. The supply of BTC is determined by the number of miners and available BTC and by scripting algorithms for blockchain hashing, while both speculators and investors determine demand. One major question then is to understand how BTC is valued and how different factors influence it. In this paper, the BTC market mechanics are broken down using vector autoregression (VAR) and Bayesian vector autoregression (BVAR) prediction models. The models proved to be very useful in simulating past BTC prices using a feature set of exogenous variables. The VAR model allows the analysis of individual factors of influence. This analysis contributes to an in-depth understanding of what drives BTC, and it can be useful to numerous stakeholders. This paper’s primary motivation is to capitalize on market movement and identify the significant price drivers, including stakeholders impacted, effects of time, as well as supply, demand, and other characteristics. The two VAR and BVAR models are compared with some state-of-the-art forecasting models over two time periods. Experimental results show that the vector-autoregression-based models achieved better performance compared to the traditional autoregression models and the Bayesian regression models.

Bitcoin Network Mechanics: Forecasting the BTC Closing Price Using Vector Auto-Regression Models Based on Endogenous and Exogenous Feature Variables

Outlier detection is critical in many business applications, as it recognizes unusual behaviours to prevent losses and optimize revenue. For example, illegitimate online transactions can be detected based on its pattern with outlier detection. The performance of existing outlier detection methods is limited by the pattern/behaviour of the dataset; these methods may not perform well without prior knowledge of the dataset. This paper proposes a multi-level outlier detection algorithm (MCOD) that uses multi-level unsupervised learning to cluster the data and discover outliers. The proposed detection method is tested on datasets in different fields with different sizes and dimensions. Experimental analysis has shown that the proposed MCOD algorithm has the ability to improving the outlier detection rate, as compared to the traditional anomaly detection methods. Enterprises and organizations can adopt the proposed MCOD algorithm to ensure a sustainable and efficient detection of frauds/outliers to increase profitability (and/or) to enhance business outcomes.

https://www.mdpi.com/2504-2289/4/4/24/pdf

Multi-Level Clustering-Based Outlier’s Detection (MCOD) Using Self-Organizing Maps

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Bitcoin Network Mechanics: Forecasting the BTC Closing Price Using Vector Auto-Regression Models Based on Endogenous and Exogenous Feature Variables

Multi-Level Clustering-Based Outlier’s Detection (MCOD) Using Self-Organizing Maps