Feature Selection using Complex Networks to Support Price Trend Forecast in Energy Markets

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Castilho, Douglas ; Santos, Moises R. ; Tinos, Renato ; Carvalho, Andre C. P. L. F. ; Paula, Marcos B. S. ; Ladeira, Lucas ; Guarnier, Ewerton ; Silva Filho, Donato ; Suiama, Danilo Y. ; Junior, Edmur A. M. ; Alipio, Lucas P. ; IEEE

• Tipo de documento: Artigo Científico
• Fonte: 2023 INTERNATIONAL JOINT CONFERENCE ON NEURAL NETWORKS, IJCNN; v. N/A, p. 9-pg., 2023-01-01.

Resumo

Machine learning algorithms have been increasingly used to solve problems related to financial markets. Predicting the price or trends of assets in different markets is the subject of several studies. As other emerging markets, the Brazilian energy market has grown in number of traded volume and players, providing a business environment that can be explored through price trend forecasting techniques. The formation of prices of energy products depends on several factors. As the source of energy production in Brazil is predominantly through hydroelectric plants, information on water storage and natural flow between hydroelectric plants can directly impact price fluctuations. We propose a new strategy based on machine learning and complex networks for predicting the price trend in energy markets. The new strategy uses storage and flow data from the most important water stations in a hydroelectric power network. For this, we developed a feature selection method based on complex networks to identify and filter the main storage stations of the Brazilian water network. Data from the selected stations are then used as input for machine learning algorithms. We use three methods to extract centrality metrics from storage stations. Experimental results indicate that better performance is obtained by the proposed strategy, when compared to two baseline methods using different machine learning algorithms. The better performance is confirmed by a financial analysis of the results when simulating the investment strategies using algotrading. (AU)

• Processo FAPESP: 13/07375-0 - CeMEAI - Centro de Ciências Matemáticas Aplicadas à Indústria
• Beneficiário: Francisco Louzada Neto
• Modalidade de apoio: Auxílio à Pesquisa - Centros de Pesquisa, Inovação e Difusão - CEPIDs
• Processo FAPESP: 19/10012-2 - Meta-aprendizagem aplicada à previsão de séries temporais
• Beneficiário: Moisés Rocha dos Santos
• Modalidade de apoio: Bolsas no Brasil - Doutorado