A Convergence result for the Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time of the unknown process at zero

The COVID-19 pandemic has severely affected various global markets, increasing the need for new forecasting models for the dry bulk market. Therefore, this study proposes deep neural network (abbreviated DNN) architectures to build a model for momentary forecasting that does not affect accuracy in the case of economic shocks (i.e., COVID-19) and elucidates the strategy for obtaining DNNs. First, since momentary and short-term forecastings are fundamentally different, they might use independent methods; as such, I apply DNN for the time series classification to momentary forecasting. Second, the proposed architecture is constructed by considering sparsity, because designing DNN architectures robust to any impacts is a type of overfitting prevention for deep neural networks. Finally, this study proposes indices for quantitatively evaluating the DNN architectures that represent the realized forecasting performance of various deep neural networks. Using these indices, I demonstrate that optimal architectures may need to have model sparsity in the DNN (i.e., sparsity independent of the input data). The importance of this issue has been demonstrated experimentally. As a result, the architectures achieved target performances of 88%, 91%, and 79% accuracy and had stability for Panamax, Supramax, and Capesize vessels, respectively from February 2016 to September 2021 (i.e., five years and eight months). It is difficult to identify a correlation between model performance and volatility. Furthermore, before and after the COVID-19 shock, the performance of the proposed models compared to the optimal one exceeds that of other four recent models, namely "Facebook Prophet," "DARTS," "SKTIME," and "AutoTS".

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A Convergence result for the Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time of the unknown process at zero

Cited by 2 publications

References 18 publications

A note on the Euler–Maruyama scheme for 1-dimensional stochastic differential equations involving the local time of the unknown process

A note on the Euler–Maruyama scheme for 1-dimensional stochastic differential equations involving the local time of the unknown process

Deep Neural Network Architectures for Momentary Forecasting in Dry Bulk Markets: Robustness to the Impact of COVID-19

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