Modeling Financial Time Series with Artificial Neural Networks

Financial time series convey the decisions and actions of a population of human actors over time. Econometric and regressive models have been developed in the past decades for analyzing these time series. More recently, biologically inspired artificial neural network models have been shown to overcome some of the main challenges of traditional techniques by better exploiting the non-linear, non-stationary, and oscillatory nature of noisy, chaotic human interactions. This review paper explores the options, benefits, and weaknesses of the various forms of artificial neural networks as compared with regression techniques in the field of financial time series analysis.CELEST, a National Science Foundation Science of Learning Center (SBE-0354378); SyNAPSE program of the Defense Advanced Research Project Agency (HR001109-03-0001

Metaheuristic design of feedforward neural networks: a review of two decades of research

Over the past two decades, the feedforward neural network (FNN) optimization has been a key interest among the researchers and practitioners of multiple disciplines. The FNN optimization is often viewed from the various perspectives: the optimization of weights, network architecture, activation nodes, learning parameters, learning environment, etc. Researchers adopted such different viewpoints mainly to improve the FNN's generalization ability. The gradient-descent algorithm such as backpropagation has been widely applied to optimize the FNNs. Its success is evident from the FNN's application to numerous real-world problems. However, due to the limitations of the gradient-based optimization methods, the metaheuristic algorithms including the evolutionary algorithms, swarm intelligence, etc., are still being widely explored by the researchers aiming to obtain generalized FNN for a given problem. This article attempts to summarize a broad spectrum of FNN optimization methodologies including conventional and metaheuristic approaches. This article also tries to connect various research directions emerged out of the FNN optimization practices, such as evolving neural network (NN), cooperative coevolution NN, complex-valued NN, deep learning, extreme learning machine, quantum NN, etc. Additionally, it provides interesting research challenges for future research to cope-up with the present information processing era

Multivariate time series analysis for short-term forecasting of ground level ozone (O3) in Malaysia

The declining of air quality mostly affects the elderly, children, people with asthma, as well as a restriction on outdoor activities. Therefore, there is an importance to provide a statistical modelling to forecast the future values of surface layer ozone (O3) concentration. The objectives of this study are to obtain the best multivariate time series (MTS) model and develop an online air quality forecasting system for O3 concentration in Malaysia. The implementations of MTS model improve the recent statistical model on air quality for short-term prediction. Ten air quality monitoring stations situated at four (4) different types of location were selected in this study. The first type is industrial represent by Pasir Gudang, Perai, and Nilai, second type is urban represent by Kuala Terengganu, Kota Bharu, and Alor Setar. The third is suburban located in Banting, Kangar, and Tanjung Malim, also the only background station at Jerantut. The hourly record data from 2010 to 2017 were used to assess the characteristics and behaviour of O3 concentration. Meanwhile, the monthly record data of O3, particulate matter (PM10), nitrogen dioxide (NO2), sulphur dioxide (SO2), carbon monoxide (CO), temperature (T), wind speed (WS), and relative humidity (RH) were used to examine the best MTS models. Three methods of MTS namely vector autoregressive (VAR), vector moving average (VMA), and vector autoregressive moving average (VARMA), has been applied in this study. Based on the performance error, the most appropriate MTS model located in Pasir Gudang, Kota Bharu and Kangar is VAR(1), Kuala Terengganu and Alor Setar for VAR(2), Perai and Nilai for VAR(3), Tanjung Malim for VAR(4) and Banting for VAR(5). Only Jerantut obtained the VMA(2) as the best model. The lowest root mean square error (RMSE) and normalized absolute error is 0.0053 and <0.0001 which is for MTS model in Perai and Kuala Terengganu, respectively. Meanwhile, for mean absolute error (MAE), the lowest is in Banting and Jerantut at 0.0013. The online air quality forecasting system for O3 was successfully developed based on the best MTS models to represent each monitoring station

Training a Feed-forward Neural Network with Artificial Bee Colony Based Backpropagation Method

Back-propagation algorithm is one of the most widely used and popular techniques to optimize the feed forward neural network training. Nature inspired meta-heuristic algorithms also provide derivative-free solution to optimize complex problem. Artificial bee colony algorithm is a nature inspired meta-heuristic algorithm, mimicking the foraging or food source searching behaviour of bees in a bee colony and this algorithm is implemented in several applications for an improved optimized outcome. The proposed method in this paper includes an improved artificial bee colony algorithm based back-propagation neural network training method for fast and improved convergence rate of the hybrid neural network learning method. The result is analysed with the genetic algorithm based back-propagation method, and it is another hybridized procedure of its kind. Analysis is performed over standard data sets, reflecting the light of efficiency of proposed method in terms of convergence speed and rate.Comment: 14 Pages, 11 figure

Mechanical properties of the concrete containing porcelain waste as sand

The demand of concrete have been increases on a daily bases which consume a lot of natural resource such as sand and gravel, there is an immediate need for finding suitable alternative which can be used to replace sand partially with another materials with high propor-tion . Ceramic waste is one of the strongest research areas that include the activity of replacement in all the sides of construction materi-als. This research aims to improve the performance of concrete using ceramic waste, and demonstrate the performance of mechanical properties to the concrete with partial replacement of sand by using waste porcelain. For these, we analyzed the mechanical properties of the concrete such as compressive strength, split tensile and flexural strength, the specimen were measured based on 10% ,20% ,30% ,40%, and 50% weight ratio of replace sand with waste porcelain at different time under water for 7 days , 28 days , 60 days . The optimum consideration were given to mechanical properties of the concrete, at different amount of ceramic waste as sand

PhysicsGP: A Genetic Programming Approach to Event Selection

We present a novel multivariate classification technique based on Genetic Programming. The technique is distinct from Genetic Algorithms and offers several advantages compared to Neural Networks and Support Vector Machines. The technique optimizes a set of human-readable classifiers with respect to some user-defined performance measure. We calculate the Vapnik-Chervonenkis dimension of this class of learning machines and consider a practical example: the search for the Standard Model Higgs Boson at the LHC. The resulting classifier is very fast to evaluate, human-readable, and easily portable. The software may be downloaded at: http://cern.ch/~cranmer/PhysicsGP.htmlComment: 16 pages 9 figures, 1 table. Submitted to Comput. Phys. Commu

Causative factors of construction and demolition waste generation in Iraq Construction Industry

The construction industry has hurt the environment from the waste generated during construction activities. Thus, it calls for serious measures to determine the causative factors of construction waste generated. There are limited studies on factors causing construction, and demolition (C&D) waste generation, and these limited studies only focused on the quantification of construction waste. This study took the opportunity to identify the causative factors for the C&D waste generation and also to determine the risk level of each causal factor, and the most important minimization methods to avoiding generating waste. This study was carried out based on the quantitative approach. A total of 39 factors that causes construction waste generation that has been identified from the literature review were considered which were then clustered into 4 groups. Improved questionnaire surveys by 38 construction experts (consultants, contractors and clients) during the pilot study. The actual survey was conducted with a total of 380 questionnaires, received with a response rate of 83.3%. Data analysis was performed using SPSS software. Ranking analysis using the mean score approach found the five most significant causative factors which are poor site management, poor planning, lack of experience, rework and poor controlling. The result also indicated that the majority of the identified factors having a high-risk level, in addition, the better minimization method is environmental awareness. A structural model was developed based on the 4 groups of causative factors using the Partial Least Squared-Structural Equation Modelling (PLS-SEM) technique. It was found that the model fits due to the goodness of fit (GOF ≥ 0.36= 0.658, substantial). Based on the outcome of this study, 39 factors were relevant to the generation of construction and demolition waste in Iraq. These groups of factors should be avoided during construction works to reduce the waste generated. The findings of this study are helpful to authorities and stakeholders in formulating laws and regulations. Furthermore, it provides opportunities for future researchers to conduct additional research’s on the factors that contribute to construction waste generation