A Comparison of Linear and Nonlinear Models in Forecasting Market Risk: The Evidence from Turkish Derivative Exchange

This paper aims to compare the volatility forecasting performance of linear and nonlinear models for ISE-30 future index which is traded in Turkish Derivatives Exchangefor the period between 04.02.2005-17.06.2011. As a result of analyses, we conclude that ANN model has better forecasting performance than traditional ARCH-GARCH models. This result is important in many fields of finance such as investment decisions, asset pricing, portfolio allocation and risk managemen

Forecasting Natural Events Using Axonal Delay

The ability to forecast natural phenomena relies on understanding causality. By definition this understanding must include a temporal component. In this paper, we consider the ability of an emerging class of neural network, which encode temporal information into the network, to perform the difficult task of Natural Event Forecasting. The Axonal Delay Network (ADN) models axonal delay in order to make predictions about sunspot activity, the Auroral Electrojet (AE) index and daily temperatures during a heatwave. The performance of this network is benchmarked against older types of neural networks; including the Multi-Layer Perceptron (MLP) network and Functional Link Neural Network (FLNN). The results indicate that the inherent temporal characteristics of the Axonal Delay Network make it well suited to the processing and prediction of natural phenomena

The application of dynamic self-organised multilayer network inspired by the Immune Algorithm for weather signals forecast

Neural network architecture called Dynamic Self-organised Multilayer Network Inspired by the Immune Algorithm is proposed for the prediction of weather signals. Two sets of experiments have been implemented. The simulation results showed slight improvement achieved by the proposed network when using the average results of 30 simulations. For the second set of experiments, the simulation results indicated that there is no significant improvement over the first set of experiments. Since clustering methods have been widely used in different applications of data mining, the adaption of unsupervised learning in the proposed network might serve these different applications, for example, medical diagnostics and pattern recognition for big data. The structure of the proposed network can be modified for clustering tasks by changing the back-propagation algorithm in the output layer. This can extend the application of the proposed network to scientifically analyse different types of big data

Yapay sinir ağları modelleri ile İMKB - 100 endeksinin günlük ve seanslık getirilerinin tahmin edilmesi

Especially for the last decade, the neural network models have been applied to solve financial problems like portfolio construction and stock market forecasting. Among the alternative neural network models, the multilayer perceptron models are expected to be effective and widely applied in financial forecasting. This study examines the forecasting power multilayer perceptron models for daily and sessional returns of ISE-100 index. The findings imply that the multilayer perceptron models presented promising performance in forecasting the ISE-100 index returns. However, further emphasis should be placed on different input variables and model architectures in order to improve the forecasting performances.Özellikle son on yılda yapay sinir ağları modelleri portföy oluşturma ve hisse senedi piyasası tahminleri gibi finansal problemleri çözmede uygulanmaktadır. Çeşitli yapay sinir ağları modelleri arasında, çok-katmanlı pörseptron modelleri finansal tahmin çalışmaları için yaygın ve etkili bir şekilde kullanılmaktadır. Bu çalışma, çok-katmanlı pörseptron modellerinin İMKB-100 endeksinin günlük ve seanslık getirilerinin tahmin edilmesindeki etkinliğini incelemektedir. Çalışmanın bulgularından yola çıkılarak, çok-katmanlı pörseptron modellerinin İMKB-100 endeks getirisini tahmin etmede umut vaat eden bir performans gösterdiği sonucuna varılabilir. Fakat, yapay sinir ağları modellerinin tahmin güçleri farklı değişkenler ve farklı model yapıları kullanılarak daha da arttırılabilir

Forecasting Daily and Sessional Returns of the ISE - 100 Index with Neural Network Models

Özellikle son on yılda yapay sinir ağları modelleri portföy oluşturma ve hisse senedi piyasası tahminleri gibi finansal problemleri çözmede uygulanmaktadır. Çeşitli yapay sinir ağları modelleri arasında, çok-katmanlı pörseptron modelleri finansal tahmin çalışmaları için yaygın ve etkili bir şekilde kullanılmaktadır. Bu çalışma, çok-katmanlı pörseptron modellerinin İMKB-100 endeksinin günlük ve seanslık getirilerinin tahmin edilmesindeki etkinliğini incelemektedir. Çalışmanın bulgularından yola çıkılarak, çok-katmanlı pörseptron modellerinin İMKB-100 endeks getirisini tahmin etmede umut vaat eden bir performans gösterdiği sonucuna varılabilir. Fakat, yapay sinir ağları modellerinin tahmin güçleri farklı değişkenler ve farklı model yapıları kullanılarak daha da arttırılabilir.Especially for the last decade, the neural network models have been applied to solve financial problems like portfolio construction and stock market forecasting. Among the alternative neural network models, the multilayer perceptron models are expected to be effective and widely applied in financial forecasting. This study examines the forecasting power multilayer perceptron models for daily and sessional returns of ISE-100 index. The findings imply that the multilayer perceptron models presented promising performance in forecasting the ISE-100 index returns. However, further emphasis should be placed on different input variables and model architectures in order to improve the forecasting performances

Forecasting Daily and Sessional Returns of the ISE - 100 Index with Neural Network Models

Özellikle son on yılda yapay sinir ağları modelleri portföy oluşturma ve hisse senedi piyasası tahminleri gibi finansal problemleri çözmede uygulanmaktadır. Çeşitli yapay sinir ağları modelleri arasında, çok-katmanlı pörseptron modelleri finansal tahmin çalışmaları için yaygın ve etkili bir şekilde kullanılmaktadır. Bu çalışma, çok-katmanlı pörseptron modellerinin İMKB-100 endeksinin günlük ve seanslık getirilerinin tahmin edilmesindeki etkinliğini incelemektedir. Çalışmanın bulgularından yola çıkılarak, çok-katmanlı pörseptron modellerinin İMKB-100 endeks getirisini tahmin etmede umut vaat eden bir performans gösterdiği sonucuna varılabilir. Fakat, yapay sinir ağları modellerinin tahmin güçleri farklı değişkenler ve farklı model yapıları kullanılarak daha da arttırılabilir.Especially for the last decade, the neural network models have been applied to solve financial problems like portfolio construction and stock market forecasting. Among the alternative neural network models, the multilayer perceptron models are expected to be effective and widely applied in financial forecasting. This study examines the forecasting power multilayer perceptron models for daily and sessional returns of ISE-100 index. The findings imply that the multilayer perceptron models presented promising performance in forecasting the ISE-100 index returns. However, further emphasis should be placed on different input variables and model architectures in order to improve the forecasting performances

Generating Buy/Sell Signals for an Equity Share Using Machine Learning

This study proposes a novel model for predicting 5 days’ ahead share price direction of GARAN (Garanti Bankasi A.Ş.), an equity share that is the top traded stock in BIST100, Istanbul Stock Exchange -Turkey. The first model includes global macroeconomic indicators as well as local inputs whereas the second model is focused more on local inputs. The performances of the two models are tested using Support Vector Machines (SVM), Neural Network with Back-Propagation (BPN), and Decision Tree (DT) algorithms. Though BPN and SVM have previously been used to predict BIST100 Index movement, DT has not been utilized before with this purpose. Forecasting is carried out tested for a time span of about 6 months on a rolling horizon basis, that is, algorithms are re-run weekly with updated data to generate daily buy/sell signals for the next week. A simple trading strategy is implemented based on buy/sell signals to calculate the rate of return on investment during the testing period. The results illustrate that DT having 80% prediction accuracy outperforms BPN and SVM that achieve 60% accuracy. Consequently, DT achieves a higher rate of return

Financial Analysis with Artificial Neural Networks Short-term Stock Market Forecasting

Excerpt from Introduction Seldom reward is absent from risk, and stock markets are a prime example. Stock markets across the world are viewed as profitable and risky at the same time. Companies have made a business out of forecasting these markets. Quantitative analysis companies use mathematicians, financial analysts, and computer scientists to compete in the stock market. The old days of floor trading have progressed towards high-frequency trading with supercomputers housed within the exchange. For example, the New York Stock exchange has created regulations for these companies so that there’s competitive equality. The computer’s power, length of cable to the exchange, and more has been standardized so that no single company will have an advantage with the exception to algorithms. Computers are delegated the buying and selling of stocks in the New York Stock exchange. A computer receives information from the market, decides an action in microseconds, and that decision gets sent to the exchange in milliseconds. From the computer’s perspective, the difference between microseconds and millisecond is significant. The company’s trading algorithms are secretive and protected, but their performance depends on time series analysis and machine learning theory

DYNAMIC SELF-ORGANISED NEURAL NETWORK INSPIRED BY THE IMMUNE ALGORITHM FOR FINANCIAL TIME SERIES PREDICTION AND MEDICAL DATA CLASSIFICATION

Artificial neural networks have been proposed as useful tools in time series analysis in a variety of applications. They are capable of providing good solutions for a variety of problems, including classification and prediction. However, for time series analysis, it must be taken into account that the variables of data are related to the time dimension and are highly correlated. The main aim of this research work is to investigate and develop efficient dynamic neural networks in order to deal with data analysis issues. This research work proposes a novel dynamic self-organised multilayer neural network based on the immune algorithm for financial time series prediction and biomedical signal classification, combining the properties of both recurrent and self-organised neural networks. The first case study that has been addressed in this thesis is prediction of financial time series. The financial time series signal is in the form of historical prices of different companies. The future prediction of price in financial time series enables businesses to make profits by predicting or simply guessing these prices based on some historical data. However, the financial time series signal exhibits a highly random behaviour, which is non-stationary and nonlinear in nature. Therefore, the prediction of this type of time series is very challenging. In this thesis, a number of experiments have been simulated to evaluate the ability of the designed recurrent neural network to forecast the future value of financial time series. The resulting forecast made by the proposed network shows substantial profits on financial historical signals when compared to the self-organised hidden layer inspired by immune algorithm and multilayer perceptron neural networks. These results suggest that the proposed dynamic neural networks has a better ability to capture the chaotic movement in financial signals. The second case that has been addressed in this thesis is for predicting preterm birth and diagnosing preterm labour. One of the most challenging tasks currently facing the healthcare community is the identification of preterm labour, which has important significances for both healthcare and the economy. Premature birth occurs when the baby is born before completion of the 37-week gestation period. Incomplete understanding of the physiology of the uterus and parturition means that premature labour prediction is a difficult task. The early prediction of preterm births could help to improve prevention, through appropriate medical and lifestyle interventions. One promising method is the use of Electrohysterography. This method records the uterine electrical activity during pregnancy. In this thesis, the proposed dynamic neural network has been used for classifying between term and preterm labour using uterine signals. The results indicated that the proposed network generated improved classification accuracy in comparison to the benchmarked neural network architectures