My codes of financial time series analysis and the AI art used in my Yukkuri Commentary movie posted on YouTube

This video presents our recent research on financial volatility forecasting, comparing classical econometric models, signal-processing techniques, and modern machine-learning approaches.

The study evaluates the forecasting performance, volatility prediction accuracy, computational efficiency, and interpretability of five different methods:

• GARCH
• SARIMA
• Matrix Pencil (MP)
• XGBoost
• Long Short-Term Memory (LSTM)

Using Bitcoin returns as a high-volatility financial asset, we investigate whether modern AI-based methods consistently outperform traditional forecasting techniques when accuracy, explainability, and computational cost are considered simultaneously.

Our results show that:

✓ SARIMA achieves the lowest return forecasting error.
✓ Matrix Pencil delivers comparable forecasting accuracy with extremely low computational cost.
✓ XGBoost provides a strong balance between accuracy and efficiency.
✓ LSTM exhibits relatively strong performance in tracking volatility patterns and market regime changes, despite higher forecasting errors and computational requirements.
✓ No single model dominates across all evaluation criteria.

The findings suggest that the Matrix Pencil method remains a competitive and highly interpretable alternative to black-box machine-learning models for financial forecasting applications. 

NicoNico: https://www.nicovideo.jp/watch/sm46580360 

Sakuya, Youmu, and Marisa challenge a unique cooking competition!
Using Bitcoin market data as ingredients, five dishes — GARCH, SARIMA, Matrix Pencil, XGBoost, and LSTM — to compete to predict future market movements ♬
This video explains the strengths and characteristics of traditional econometric models, signal-processing approaches, and modern AI techniques through a fun Yukkuri-style commentary.
Which model will create the best “forecasting recipe” for the future market?

Artwork including original character illustrations:
https://www.pixiv.net/en/tags/%E5%A6%...

Music, sound effects, and background materials used in this video are credited in the end credits.
#TouhouProject #Touhou #YukkuriCommentary #reimu #marisa #sakuya #youmu #remilia #yuyuko #Finance #Bitcoin #Cryptocurrency #QuantitativeFinance #FinancialEngineering #FinancialForecasting #VolatilityForecasting #Econometrics #ARIMA #SARIMA #GARCH #ArtificialIntelligence #MachineLearning #DeepLearning #DataScience #TimeSeriesAnalysis #ExplainableAI #XGBoost #LSTM #SignalProcessing #MatrixPencil #Prony #PronyMethod #Python #Research

This image is posted on my pixiv page: https://www.pixiv.net/en/artworks/147674029

My attempt is to generate an AI art with free of charge using ChatGPT. Many AI illustration tools charge fee and are not so flexible yet. I have experimented with generating an image based on my rough drawing together with the input script into ChatGPT.

This is an AI-synthetic illustration output by ChatGPT based on my rough drawing. The following is the input script. It is like asking the contemporary popular character designer to illustrate Touhou Project characters in his style. ☆彡

Redraw this illustration in a 1990s Japanese fantasy RPG illustration style with the scene shows three cooks working side by side in a cozy kitchen:

• on the left, a refined silver-haired maid in a blue-and-white uniform with a green ribbon, skillfully slicing vegetables with a kitchen knife

• in the center, a white-haired swordswoman in a green outfit, attentively stirring a pot of simmering food on the stove

• on the right, a blonde witch-like girl wearing an oversized black pointed hat and a black-and-white outfit, energetically stir-frying ingredients in a frying pan.

Please improve the line quality, proportions, and shading while preserving the original composition.

 

*  I have got to prepare for a cover image for a video I am currently creating to post YouTube. Furthermore, over here, it is too hot to be concentrated with my usual art works. .... seriously, it's tough enough to make me sleep quite a few hours! In an accommodation where I am currently living, there is no AC! My energy has recently been drained without noticing. Therefore, I just decided to spend my experiment in the AI output while my concentration and energy for my own artwork is sizably limited