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

Forecasting Long-Term Government Bond Yields: An Application of Statistical and AI Models

This paper evaluates several artificial intelligence and classical algorithms on their ability of forecasting the monthly yield of the US 10-year Treasury bonds from a set of four economic indicators. Due to the complexity of the prediction problem, the task represents a challenging test for the algorithms under evaluation. At the same time, the study is of particular significance for the important and paradigmatic role played by the US market in the world economy. Four data-driven artificial intelligence approaches are considered, namely, a manually built fuzzy logic model, a machine learned fuzzy logic model, a self-organising map model and a multi-layer perceptron model. Their performance is compared with the performance of two classical approaches, namely, a statistical ARIMA model and an econometric error correction model. The algorithms are evaluated on a complete series of end-month US 10-year Treasury bonds yields and economic indicators from 1986:1 to 2004:12. In terms of prediction accuracy and reliability of the modelling procedure, the best results are obtained by the three parametric regression algorithms, namely the econometric, the statistical and the multi-layer perceptron model. Due to the sparseness of the learning data samples, the manual and the automatic fuzzy logic approaches fail to follow with adequate precision the range of variations of the US 10-year Treasury bonds. For similar reasons, the self-organising map model gives an unsatisfactory performance. Analysis of the results indicates that the econometric model has a slight edge over the statistical and the multi-layer perceptron models. This suggests that pure data-driven induction may not fully capture the complicated mechanisms ruling the changes in interest rates. Overall, the prediction accuracy of the best models is only marginally better than the prediction accuracy of a basic one-step lag predictor. This result highlights the difficulty of the modelling task and, in general, the difficulty of building reliable predictors for financial markets.interest rates; forecasting; neural networks; fuzzy logic.

Adaptive and intelligent navigation of autonomous planetary rovers - A survey

The application of robotics and autonomous systems in space has increased dramatically. The ongoing Mars rover mission involving the Curiosity rover, along with the success of its predecessors, is a key milestone that showcases the existing capabilities of robotic technology. Nevertheless, there has still been a heavy reliance on human tele-operators to drive these systems. Reducing the reliance on human experts for navigational tasks on Mars remains a major challenge due to the harsh and complex nature of the Martian terrains. The development of a truly autonomous rover system with the capability to be effectively navigated in such environments requires intelligent and adaptive methods fitting for a system with limited resources. This paper surveys a representative selection of work applicable to autonomous planetary rover navigation, discussing some ongoing challenges and promising future research directions from the perspectives of the authors

From Manifesta to Krypta: The Relevance of Categories for Trusting Others

In this paper we consider the special abilities needed by agents for assessing trust based on inference and reasoning. We analyze the case in which it is possible to infer trust towards unknown counterparts by reasoning on abstract classes or categories of agents shaped in a concrete application domain. We present a scenario of interacting agents providing a computational model implementing different strategies to assess trust. Assuming a medical domain, categories, including both competencies and dispositions of possible trustees, are exploited to infer trust towards possibly unknown counterparts. The proposed approach for the cognitive assessment of trust relies on agents' abilities to analyze heterogeneous information sources along different dimensions. Trust is inferred based on specific observable properties (Manifesta), namely explicitly readable signals indicating internal features (Krypta) regulating agents' behavior and effectiveness on specific tasks. Simulative experiments evaluate the performance of trusting agents adopting different strategies to delegate tasks to possibly unknown trustees, while experimental results show the relevance of this kind of cognitive ability in the case of open Multi Agent Systems

Chaotic Quantum Double Delta Swarm Algorithm using Chebyshev Maps: Theoretical Foundations, Performance Analyses and Convergence Issues

Quantum Double Delta Swarm (QDDS) Algorithm is a new metaheuristic algorithm inspired by the convergence mechanism to the center of potential generated within a single well of a spatially co-located double-delta well setup. It mimics the wave nature of candidate positions in solution spaces and draws upon quantum mechanical interpretations much like other quantum-inspired computational intelligence paradigms. In this work, we introduce a Chebyshev map driven chaotic perturbation in the optimization phase of the algorithm to diversify weights placed on contemporary and historical, socially-optimal agents' solutions. We follow this up with a characterization of solution quality on a suite of 23 single-objective functions and carry out a comparative analysis with eight other related nature-inspired approaches. By comparing solution quality and successful runs over dynamic solution ranges, insights about the nature of convergence are obtained. A two-tailed t-test establishes the statistical significance of the solution data whereas Cohen's d and Hedge's g values provide a measure of effect sizes. We trace the trajectory of the fittest pseudo-agent over all function evaluations to comment on the dynamics of the system and prove that the proposed algorithm is theoretically globally convergent under the assumptions adopted for proofs of other closely-related random search algorithms.Comment: 27 pages, 4 figures, 19 table