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Analysis and prediction of multivariate time series with networks and reservoir computing

Räth, Christoph (2019) Analysis and prediction of multivariate time series with networks and reservoir computing. Anwendungspotential von KI-Methoden für die Ökonophysik und zur Portfoliooptimierung, 27. Okt. 2019, München, Deutschland. (Unpublished)

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Abstract

The development of tools for characterizing current and predicting future states of higher-dimensional, complex dynamical systems is of great importance for both basic research and numerous applications. In this talk we will present two different approaches for assessing and predicting multivariate nonlinear time series. First we show how network analyses based on (non-)linear similarity measures can give very detailed insights into the correlation topology of the time series and their changes in time. Using examples from econophysics we outline the potential for forecasting future developments. Second we demonstrate how the the short and long term behavior of nonlinear dynamical systems can be reproduced by means of reservoir computing (RC). The influence of changes of the topology of the reservoir on the predictions quality is studied in detail. Current and future applications of RC are briefly discussed.

Item URL in elib:https://elib.dlr.de/129924/
Document Type:Conference or Workshop Item (Speech)
Title:Analysis and prediction of multivariate time series with networks and reservoir computing
Authors:
AuthorsInstitution or Email of AuthorsAuthors ORCID iD
Räth, ChristophChristoph.Raeth (at) dlr.deUNSPECIFIED
Date:2019
Refereed publication:No
Open Access:No
Gold Open Access:No
In SCOPUS:No
In ISI Web of Science:No
Status:Unpublished
Keywords:Prediction, Econophysics, Machine Learning, Reservoir Computing, Complex Systems
Event Title:Anwendungspotential von KI-Methoden für die Ökonophysik und zur Portfoliooptimierung
Event Location:München, Deutschland
Event Type:Workshop
Event Dates:27. Okt. 2019
Organizer:risklab GmbH
HGF - Research field:Aeronautics, Space and Transport
HGF - Program:Space
HGF - Program Themes:Research under Space Conditions
DLR - Research area:Raumfahrt
DLR - Program:R FR - Forschung unter Weltraumbedingungen
DLR - Research theme (Project):R - Komplexe Plasmen / Data analysis
Location: Oberpfaffenhofen
Institutes and Institutions:Institute of Materials Physics in Space > Research Group Complex Plasma
Deposited By: Räth, Christoph
Deposited On:28 Oct 2019 07:05
Last Modified:28 Oct 2019 07:05

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