International Journal of Forecasting最新文献_第3页

A framework for timely and accessible long-term forecasting of shale gas production based on time series pattern matching 基于时间序列模式匹配的页岩气产量长期及时预测框架

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-08-24 DOI: 10.1016/j.ijforecast.2024.07.009

Yilun Dong, Youzhi Hao, Detang Lu

{"title":"A framework for timely and accessible long-term forecasting of shale gas production based on time series pattern matching","authors":"Yilun Dong, Youzhi Hao, Detang Lu","doi":"10.1016/j.ijforecast.2024.07.009","DOIUrl":"10.1016/j.ijforecast.2024.07.009","url":null,"abstract":"<div><div>Shale gas production forecasting is an important research topic in the gas industry. A common shale gas block includes dozens or even thousands of wells and therefore has a great number of historical production series. However, most existing methods apply single-well modelling. This cannot exploit data from other wells and requires a long production history from the target well, so the forecasting timeliness is compromised. Moreover, the parameters required by many of the existing methods are difficult to collect in practice, so the forecasting accessibility is compromised. Therefore, this study presents a shale gas production forecasting framework with improved timeliness and accessibility. To ensure timeliness, the proposed approach utilises historical data from existing wells and only requires a short production history from the target well. To ensure accessibility, the proposed approach only requires past daily production time and gas yield. The performance of the proposed method is demonstrated through a comparison with baseline methods. The results regarding cumulative gas production forecasting indicate that the proposed method has an average overall mean absolute percentage error (OMAPE) of 0.210, outperforming an artificial neural network with an average OMAPE of 0.241 and ARIMA with an average OMAPE of more than 2.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 2","pages":"Pages 821-843"},"PeriodicalIF":6.9,"publicationDate":"2024-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142190564","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Forecasting soccer matches with betting odds: A tale of two markets

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-08-22 DOI: 10.1016/j.ijforecast.2024.06.013

Tadgh Hegarty, Karl Whelan

引用次数: 0

Forecasting mail flow: A hierarchical approach for enhanced societal wellbeing 预测邮件流量：提高社会福祉的分层方法

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-07-29 DOI: 10.1016/j.ijforecast.2024.07.001

Nadine Kafa, M. Zied Babai, Walid Klibi

{"title":"Forecasting mail flow: A hierarchical approach for enhanced societal wellbeing","authors":"Nadine Kafa, M. Zied Babai, Walid Klibi","doi":"10.1016/j.ijforecast.2024.07.001","DOIUrl":"10.1016/j.ijforecast.2024.07.001","url":null,"abstract":"<div><div>Forecasting for Social Good has gained considerable attention for its impact on individuals, businesses, and society. This research introduces an integrated hierarchical forecasting-based decision-making approach for mail flow in a major postal organisation, presenting new social performance indicators. These indicators, including the discharge level, discharge rate, and overload rate, guide decision makers toward consistent workload planning, bridging a literature gap concerning forecast utility measures. The study evaluates three forecasting methods—exponential smoothing with error, trend, and seasonality (ETS), the autoregressive integrated moving average (ARIMA), and the light gradient boosting machine (LightGBM)—in terms of forecast accuracy and social measures, comparing them to the organisation’s current method. The empirical results confirm that the proposed approach is more accurate than the current method. Moreover, while ETS shows the highest forecast accuracy, LightGBM outperforms all methods in social measures. This indicates that a highly accurate forecasting method does not always enhance social performance, challenging traditional views on forecasting evaluation.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 1","pages":"Pages 51-65"},"PeriodicalIF":6.9,"publicationDate":"2024-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142704583","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Not feeling the buzz: Correction study of mispricing and inefficiency in online sportsbooks

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-07-27 DOI: 10.1016/j.ijforecast.2024.06.012

Lawrence Clegg, John Cartlidge

{"title":"Not feeling the buzz: Correction study of mispricing and inefficiency in online sportsbooks","authors":"Lawrence Clegg, John Cartlidge","doi":"10.1016/j.ijforecast.2024.06.012","DOIUrl":"10.1016/j.ijforecast.2024.06.012","url":null,"abstract":"<div><div>We present a replication and correction of a recent article (Ramirez et al., 2023). RRS measure profile page views on Wikipedia to generate a “buzz factor” metric for tennis players and show that it can be used to form a profitable gambling strategy by predicting bookmaker mispricing. Here, we use the same dataset as RRS to reproduce their results exactly, which confirms the robustness of RRS’ mispricing claim. However, we discover that RRS’ published out-of-sample betting results are significantly affected by a single bet (the “Hercog” bet), which returns substantial outlier profits based on erroneously long odds. When this data quality issue is resolved, the majority of reported profits disappear and only one strategy, which bets on “competitive” matches, remains significantly profitable in the original out-of-sample period. While one profitable strategy offers weaker support than the original study, it still provides an indication that market inefficiencies may exist, as originally claimed by RRS. As an extension, we continue testing after 2020. The strategy generates no further profits and model coefficients estimated over this period are no longer reliable predictors of bookmaker mispricing.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 2","pages":"Pages 798-802"},"PeriodicalIF":6.9,"publicationDate":"2024-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143579232","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Sensitivity and uncertainty in the Lee–Carter mortality model

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-07-26 DOI: 10.1016/j.ijforecast.2024.06.010

Wenyun Zuo , Anil Damle , Shripad Tuljapurkar

引用次数: 0

Skew–Brownian processes for estimating the volatility of crude oil Brent 用于估算布伦特原油波动率的偏斜-布朗过程

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-07-20 DOI: 10.1016/j.ijforecast.2024.06.009

Michele Bufalo , Brunero Liseo , Giuseppe Orlando

引用次数: 0

Does economic uncertainty predict real activity in real time?

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-07-20 DOI: 10.1016/j.ijforecast.2024.06.008

Bart Keijsers , Dick van Dijk

{"title":"Does economic uncertainty predict real activity in real time?","authors":"Bart Keijsers , Dick van Dijk","doi":"10.1016/j.ijforecast.2024.06.008","DOIUrl":"10.1016/j.ijforecast.2024.06.008","url":null,"abstract":"<div><div>We assess the predictive ability of 15 economic uncertainty measures in a real-time out-of-sample forecasting exercise for The Conference Board’s coincident economic index and its components (industrial production, employment, personal income, and manufacturing and trade sales). The results show that the measures hold (real-time) predictive power for quantiles in the left tail. Because uncertainty measures are all proxies of an unobserved entity, we combine their information using principal component analysis. A large fraction of the variance of the uncertainty measures can be explained by two factors: a general economic uncertainty factor with a slight tilt toward financial conditions, and a consumer/media confidence index which remains elevated after recessions. Using a predictive regression model with the factors from the set of uncertainty measures yields more consistent gains compared to a model with an individual uncertainty measure. Further, although accurate forecasts are obtained using the National Financial Conditions Index (NFCI), the uncertainty factor models are better when forecasting employment, and in general, the uncertainty factors have predictive content that is complementary to the NFCI.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 2","pages":"Pages 748-762"},"PeriodicalIF":6.9,"publicationDate":"2024-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143579230","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Adaptively aggregated forecast for exponential family panel model 指数族面板模型的自适应汇总预测

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-07-19 DOI: 10.1016/j.ijforecast.2024.06.005

Dalei Yu , Nian-Sheng Tang , Yang Shi

{"title":"Adaptively aggregated forecast for exponential family panel model","authors":"Dalei Yu , Nian-Sheng Tang , Yang Shi","doi":"10.1016/j.ijforecast.2024.06.005","DOIUrl":"10.1016/j.ijforecast.2024.06.005","url":null,"abstract":"<div><div>Aggregation strategies play an important role akin to that of model selection and have been extensively studied in different statistical models to improve forecasting accuracy. However, traditional aggregated forecast strategies for panel data are mainly developed under the assumption that response variables are continuously distributed (or normally distributed). Replacing this assumption by a more general family of distributions, i.e., exponential family distributions, this paper proposes a computationally efficient way to construct the cumulative risk function and to explicitly accommodate the correlation structure of within-subject observations, develops two novel adaptively aggregated forecasting strategies via exponential reweighting and quadratic reweighting, and rigorously establishes the corresponding tight oracle inequalities. The proposed exponential reweighting-based strategy enjoys promising Kullback–Leibler risk-bound adaptation. Moreover, under the quadratic risk, a promising adaptation property can be achieved by the quadratic reweighting-based strategy. The risk-bound properties of the two proposed procedures in the presence of pre-screening are established under mild conditions. The calibration properties of the proposed methods are also analyzed. Simulation studies, together with an example in analyzing television viewers’ binary decision sequence of watching drama episodes, verify the superiority of our methods over existing model selection and aggregation methods.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 2","pages":"Pages 733-747"},"PeriodicalIF":6.9,"publicationDate":"2024-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141848769","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Predicting and optimizing the fair allocation of donations in hunger relief supply chains 预测和优化饥饿救济供应链中捐款的公平分配

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-07-10 DOI: 10.1016/j.ijforecast.2024.06.004

Nowshin Sharmile , Isaac A. Nuamah , Lauren Davis , Funda Samanlioglu , Steven Jiang , Carter Crain

引用次数: 0

Emotions and the status quo: The anti-incumbency bias in political prediction markets

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-06-28 DOI: 10.1016/j.ijforecast.2024.06.003

Vahid Karimi Motahhar , Thomas S. Gruca , Mohammad Hosein Tavakoli

{"title":"Emotions and the status quo: The anti-incumbency bias in political prediction markets","authors":"Vahid Karimi Motahhar , Thomas S. Gruca , Mohammad Hosein Tavakoli","doi":"10.1016/j.ijforecast.2024.06.003","DOIUrl":"10.1016/j.ijforecast.2024.06.003","url":null,"abstract":"<div><div>Emotions are often associated with politics, with new research confirming this connection. There is a link between negative emotions and political actions that oppose an incumbent candidate or party. We examine whether this “anti-incumbency” bias extends to political prediction markets, where such emotions can conflict with economic rationality. We analyze unique data from <em>Media Predict</em>, a commercial prediction market. Before a trade is executed, participants are asked to write a justification for their actions. Using text analysis, we measure the emotional sentiment of the justifications of traders buying contracts predicting a change in the incumbent candidate or party. Consistent with anti-incumbency bias, the justifications of buyers of a challenger contract had significantly more negative emotional sentiment scores. We document this finding in prediction markets associated with the 2012 US Presidential Election and the 2015 UK General Election. We conclude that, despite incentives to the contrary, traders’ actions in political stock markets are associated with strong emotions tied to incumbency status.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 2","pages":"Pages 571-579"},"PeriodicalIF":6.9,"publicationDate":"2024-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143579119","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0