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Gold price forecasting research based on an improved online extreme learning machine algorithm

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Accurate gold price prediction is highly essential for economic and currency markets. Thus, the intelligence prediction models need to be applied to price prediction. On the basis of long-term collected… Click to show full abstract

Accurate gold price prediction is highly essential for economic and currency markets. Thus, the intelligence prediction models need to be applied to price prediction. On the basis of long-term collected daily gold, the study proposes a novel genetic algorithm regularization online extreme learning machine (GA-ROSELM), to predict gold price data which collected from public websites. Akaike Information Criterion (AIC) is introduced to build the eight input combinations of variables based on the silver price of the previous day (Silver_D1), Standard & Poor. The 500 indexes (S&P_D1), the crude oil price (Crude_D1), and the gold price of the previous 3 days (Gold_D1, Gold_D2, Gold_D3). Eight optimal variable models are established, and the final input variables are determined according to the minimum AIC value. The proposed model (GA-ROSELM) solve the problem that OS-ELM model which is easy to generate singular matrices, meanwhile, experiments demonstrate this model performs better than ARIMA, SVM, BP, ELM and OS-ELM in the gold price prediction experiment. On the test set, the root means square error of this model (GA-ROSELM) prediction compared with five other models which decreased by 13.1%, 22.4%, 53.87%, 57.84% and 37.72% respectively. In summary, the results clearly confirm the effectiveness of the GA-ROSELM model.

Keywords: online extreme; price; model; gold; prediction; gold price

Journal Title: Journal of Ambient Intelligence and Humanized Computing
Year Published: 2020

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