9,453 research outputs found
European exchange trading funds trading with locally weighted support vector regression
In this paper, two different Locally Weighted Support Vector Regression (wSVR) algorithms are generated and applied to the task of forecasting and trading five European Exchange Traded Funds. The trading application covers the recent European Monetary Union debt crisis. The performance of the proposed models is benchmarked against traditional Support Vector Regression (SVR) models. The Radial Basis Function, the Wavelet and the Mahalanobis kernel are explored and tested as SVR kernels. Finally, a novel statistical SVR input selection procedure is introduced based on a principal component analysis and the Hansen, Lunde, and Nason (2011) model confidence test. The results demonstrate the superiority of the wSVR models over the traditional SVRs and of the v-SVR over the ε-SVR algorithms. We note that the performance of all models varies and considerably deteriorates in the peak of the debt crisis. In terms of the kernels, our results do not confirm the belief that the Radial Basis Function is the optimum choice for financial series
Representation of Functional Data in Neural Networks
Functional Data Analysis (FDA) is an extension of traditional data analysis
to functional data, for example spectra, temporal series, spatio-temporal
images, gesture recognition data, etc. Functional data are rarely known in
practice; usually a regular or irregular sampling is known. For this reason,
some processing is needed in order to benefit from the smooth character of
functional data in the analysis methods. This paper shows how to extend the
Radial-Basis Function Networks (RBFN) and Multi-Layer Perceptron (MLP) models
to functional data inputs, in particular when the latter are known through
lists of input-output pairs. Various possibilities for functional processing
are discussed, including the projection on smooth bases, Functional Principal
Component Analysis, functional centering and reduction, and the use of
differential operators. It is shown how to incorporate these functional
processing into the RBFN and MLP models. The functional approach is illustrated
on a benchmark of spectrometric data analysis.Comment: Also available online from:
http://www.sciencedirect.com/science/journal/0925231
Construction of embedded fMRI resting state functional connectivity networks using manifold learning
We construct embedded functional connectivity networks (FCN) from benchmark
resting-state functional magnetic resonance imaging (rsfMRI) data acquired from
patients with schizophrenia and healthy controls based on linear and nonlinear
manifold learning algorithms, namely, Multidimensional Scaling (MDS), Isometric
Feature Mapping (ISOMAP) and Diffusion Maps. Furthermore, based on key global
graph-theoretical properties of the embedded FCN, we compare their
classification potential using machine learning techniques. We also assess the
performance of two metrics that are widely used for the construction of FCN
from fMRI, namely the Euclidean distance and the lagged cross-correlation
metric. We show that the FCN constructed with Diffusion Maps and the lagged
cross-correlation metric outperform the other combinations
- …