One of the notable features of bitcoin is its extreme volatility. The modeling and forecasting of bitcoin volatility are crucial for bitcoin investors’ decision-making analysis and risk management. However, most previous studies of bitcoin volatility were founded on econometric models. Research on bitcoin volatility forecasting using machine learning algorithms is still sparse. In this study, both conventional econometric models and a machine learning model are used to forecast the bitcoin’s return volatility and Value at Risk. The objective of this study is to compare their out-of-sample performance in forecasting accuracy and risk management efficiency. The results demonstrate that the RNN outperforms GARCH and EWMA in average forecasting performance. However, it is less efficient in capturing the bitcoin market’s extreme events. Moreover, the RNN shows poor performance in Value at Risk forecasting, indicating that it could not work well as the econometric models in explaining extreme volatility. This study proposes an alternative method of bitcoin volatility analysis and provides more motivation for economic researchers to apply machine learning methods to the less volatile financial market conditions. Meanwhile, it also shows that the machine learning approaches are not always more advanced than econometric models, contrary to common belief.
As an important tool for data analysis and knowledge processing, formal concept analysis has been applied to many fields. Currently, granular computing (GrC) provides a novel approach for data analysis. In this paper, pictorial diagrams of a formal context are first defined based on equivalence relations. And then, from the viewpoint of GrC, the transformation between equivalence classes and three kinds of concepts (formal concept, property oriented concept, and object oriented concept) in formal contexts are studied. Further, using the relationships between arrow relations proposed by Wille and Ganter and irreducible elements of a concept lattice, the new judgment theorems for join(meet)-irreducible elements of a concept lattice, join-irreducible elements of a property oriented concept lattice and an object oriented concept lattice are achieved.
Consider a natural language sentence describing a specific step in a food recipe. In such instructions, recognizing actions (such as press, bake, etc.) and the resulting changes in the state of the ingredients (shape molded, custard cooked, temperature hot, etc.) is a challenging task. One way to cope with this challenge is to explicitly model a simulator module that applies actions to entities and predicts the resulting outcome (Bosselut et al. 2018). However, such a model can be unnecessarily complex. In this paper, we propose a simplified neural network model that separates action recognition and state change prediction, while coupling the two through a novel loss function. This allows learning to indirectly influence each other. Our model, although simpler, achieves higher state change prediction performance (67% average accuracy for ours vs. 55% in (Bosselut et al. 2018)) and takes fewer samples to train (10K ours vs. 65K+ by (Bosselut et al. 2018)).
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