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Multi-Scale Price Forecasting Based on Data Augmentation

Authors :
Ting Yue
Yahui Liu
Source :
Applied Sciences, Vol 14, Iss 19, p 8737 (2024)
Publication Year :
2024
Publisher :
MDPI AG, 2024.

Abstract

When considering agricultural commodity transaction data, long sampling intervals or data sparsity may lead to small samples. Furthermore, training on small samples can lead to overfitting and makes it hard to capture the fine-grained fluctuations in the data. In this study, a multi-scale forecasting approach combined with a Generative Adversarial Network (GAN) and Temporal Convolutional Network (TCN) is proposed to address the problems related to small sample prediction. First, a Time-series Generative Adversarial Network (TimeGAN) is used to expand the multi-dimensional data and t-SNE is utilized to evaluate the similarity between the original and synthetic data. Second, a greedy algorithm is exploited to calculate the information gain, in order to obtain important features, based on XGBoost. Meanwhile, TCN residual blocks and dilated convolutions are used to tackle the issue of gradient disappearance. Finally, an attention mechanism is added to the TCN, which is beneficial in terms of improving the forecasting accuracy. Experiments are conducted on three products, garlic, ginger and chili. Taking garlic as an example, the RMSE of the proposed method was reduced by 1.7% and 1% when compared to the SVR and RF models, respectively. Its R2 accuracy was also improved (by 4.3% and 3.4%, respectively). Furthermore, TCN-attention and TCN were found to require less time compared to GRU and LSTM. The accuracy of the proposed method increased by about 5% when compared to that without TimeGAN in the ablation study. Moreover, compared with TCN, the Gated Recurrent Unit (GRU), and the Long Short-term Memory (LSTM) model in the multi-scale price forecasting task, the proposed method can better utilize small samples and high-dimensional data, leading to improved performance. Additionally, the proposed model is compared to the Transformer and TimesNet models in terms of its accuracy, deployment cost, and other metrics.

Details

Language :
English
ISSN :
20763417 and 20743629
Volume :
14
Issue :
19
Database :
Directory of Open Access Journals
Journal :
Applied Sciences
Publication Type :
Academic Journal
Accession number :
edsdoj.9147f6c3c2074362927129db03145ab4
Document Type :
article
Full Text :
https://doi.org/10.3390/app14198737