Forecasting foreign exchange rates with adaptive neural networks using radial basis functions and particle swarm optimization

The motivation for this paper is to introduce a hybrid Neural Network architecture of Particle Swarm Optimization and Adaptive Radial Basis Function (ARBF-PSO), a time varying leverage trading strategy based on Glosten, Jagannathan and Runkle (GJR) volatility forecasts and a Neural Network fitness function for financial forecasting purposes. This is done by benchmarking the ARBF-PSO results with those of three different Neural Networks architectures, a Nearest Neighbors algorithm (k-NN), an autoregressive moving average model (ARMA), a moving average convergence/divergence model (MACD) plus a naïve strategy. More specifically, the trading and statistical performance of all models is investigated in a forecast simulation of the EUR/USD, EUR/GBP and EUR/JPY ECB exchange rate fixing time series over the period January 1999 to March 2011 using the last two years for out-of-sample testing

Modeling, forecasting and trading the EUR exchange rates with hybrid rolling genetic algorithms: support vector regression forecast combinations

The motivation of this paper is to introduce a hybrid Rolling Genetic Algorithm-Support Vector Regression (RG-SVR) model for optimal parameter selection and feature subset combination. The algorithm is applied to the task of forecasting and trading the EUR/USD, EUR/GBP and EUR/JPY exchange rates. The proposed methodology genetically searches over a feature space (pool of individual forecasts) and then combines the optimal feature subsets (SVR forecast combinations) for each exchange rate. This is achieved by applying a fitness function specialized for financial purposes and adopting a sliding window approach. The individual forecasts are derived from several linear and non-linear models. RG-SVR is benchmarked against genetically and non-genetically optimized SVRs and SVMs models that are dominating the relevant literature, along with the robust ARBF-PSO neural network. The statistical and trading performance of all models is investigated during the period of 1999–2012. As it turns out, RG-SVR presents the best performance in terms of statistical accuracy and trading efficiency for all the exchange rates under study. This superiority confirms the success of the implemented fitness function and training procedure, while it validates the benefits of the proposed algorithm

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 Multilayer Perceptron with Genetic Algorithms and Particle Swarm Optimization for Modeling Stock Price Index Prediction

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Adaptive Grey Wolf Optimization Technique for Stock Index Price Prediction on Recurring Neural Network Variants

In this paper, we propose a Long short-term memory (LSTM) and Adaptive Grey Wolf Optimization (GWO)--based hybrid model for predicting the stock prices of the Major Indian stock indices, i.e., Sensex. The LSTM is an advanced neural network that handles uncertain, nonlinear, and sequential data. The challenges are its weight and bias optimization. The classical backpropagation has issues of dangling on local minima or overfitting the dataset. Thus, we propose a GWO-based hybrid approach to evolve the weights and biases of the LSTM and the dense layers. We have made the GWO more robust by introducing an approach to improve the best possible solution by using the optimal ranking of the wolves. The proposed model combines the GWO with Adam Optimizer to train the LSTM. Apart from the LSTM, we have also implemented the Adaptive GWO on other variants of Recurring Neural Networks (RNN) like LSTM, Bi-Directional LSTM, Gated Recurrent Units (GRU), and Bi-Directional GRU and computed the corresponding results. The Adaptive GWO here evolves the initial weights and biases of the above-discussed neural networks. In this research, we have also compared the forecasting efficiency of our proposed work with a particle-warm optimization (PSO) based hybrid LSTM model, simple Grey-wolf Optimization (GWO), and Adaptive PSO. According to the experimental findings, the suggested model has effectively used the best initial weights, and its results are the best overall

Enhanced artificial bee colony-least squares support vector machines algorithm for time series prediction

Over the past decades, the Least Squares Support Vector Machines (LSSVM) has been widely utilized in prediction task of various application domains. Nevertheless, existing literature showed that the capability of LSSVM is highly dependent on the value of its hyper-parameters, namely regularization parameter and kernel parameter, where this would greatly affect the generalization of LSSVM in prediction task. This study proposed a hybrid algorithm, based on Artificial Bee Colony (ABC) and LSSVM, that consists of three algorithms; ABC-LSSVM, lvABC-LSSVM and cmABC-LSSVM. The lvABC algorithm is introduced to overcome the local optima problem by enriching the searching behaviour using Levy mutation. On the other hand, the cmABC algorithm that incorporates conventional mutation addresses the over- fitting or under-fitting problem. The combination of lvABC and cmABC algorithm, which is later introduced as Enhanced Artificial Bee Colony–Least Squares Support Vector Machine (eABC-LSSVM), is realized in prediction of non renewable natural resources commodity price. Upon the completion of data collection and data pre processing, the eABC-LSSVM algorithm is designed and developed. The predictability of eABC-LSSVM is measured based on five statistical metrics which include Mean Absolute Percentage Error (MAPE), prediction accuracy, symmetric MAPE (sMAPE), Root Mean Square Percentage Error (RMSPE) and Theils’ U. Results showed that the eABC-LSSVM possess lower prediction error rate as compared to eight hybridization models of LSSVM and Evolutionary Computation (EC) algorithms. In addition, the proposed algorithm is compared to single prediction techniques, namely, Support Vector Machines (SVM) and Back Propagation Neural Network (BPNN). In general, the eABC-LSSVM produced more than 90% prediction accuracy. This indicates that the proposed eABC-LSSVM is capable of solving optimization problem, specifically in the prediction task. The eABC-LSSVM is hoped to be useful to investors and commodities traders in planning their investment and projecting their profit

Prediction of Stock Market Index Using a Hybrid Technique of Artificial Neural Networks and Particle Swarm Optimization

In this paper we examine the ability of Artificial Neural Network methods (ANN) for predicting the stock market index. We first conduct an ANN analysis and then optimize the ANN model using Particle Swarm Optimization algorithm (PSO) to improve the prediction accuracy. In terms of data, we use NASDAQ index which is one of the most widely followed indices in the United States. Empirical results show that by determining the optimal set of biases and weights using PSO, we can augment the accuracy of the ANN model for this stock market data set

An academic review: applications of data mining techniques in finance industry

With the development of Internet techniques, data volumes are doubling every two years, faster than predicted by Moore’s Law. Big Data Analytics becomes particularly important for enterprise business. Modern computational technologies will provide effective tools to help understand hugely accumulated data and leverage this information to get insights into the finance industry. In order to get actionable insights into the business, data has become most valuable asset of financial organisations, as there are no physical products in finance industry to manufacture. This is where data mining techniques come to their rescue by allowing access to the right information at the right time. These techniques are used by the finance industry in various areas such as fraud detection, intelligent forecasting, credit rating, loan management, customer profiling, money laundering, marketing and prediction of price movements to name a few. This work aims to survey the research on data mining techniques applied to the finance industry from 2010 to 2015.The review finds that Stock prediction and Credit rating have received most attention of researchers, compared to Loan prediction, Money Laundering and Time Series prediction. Due to the dynamics, uncertainty and variety of data, nonlinear mapping techniques have been deeply studied than linear techniques. Also it has been proved that hybrid methods are more accurate in prediction, closely followed by Neural Network technique. This survey could provide a clue of applications of data mining techniques for finance industry, and a summary of methodologies for researchers in this area. Especially, it could provide a good vision of Data Mining Techniques in computational finance for beginners who want to work in the field of computational finance