Comparative Study of Stock Trend Prediction using Time Delay, Recurrent and Probabilistic Neural Networks

Three networks are compared for low false alarm stock trend predictions. Short-term trends, particularly attractive for neural network analysis, can be used profitably in scenarios such as option trading, but only with significant risk. Therefore, we focus on limiting false alarms, which improves the risk/reward ratio by preventing losses. To predict stock trends, we exploit time delay, recurrent, and probabilistic neural networks (TDNN, RNN, and PNN, respectively), utilizing conjugate gradient and multistream extended Kalman filter training for TDNN and RNN. We also discuss different predictability analysis techniques and perform an analysis of predictability based on a history of daily closing price. Our results indicate that all the networks are feasible, the primary preference being one of convenienc

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

Rule-based integrated building management systems

This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.The introduction of building management systems in large buildings have improved the control of building services and provided energy savings. However, current building management systems are limited by the physical level of integration of the building's services and the lack of intelligence provided in the control algorithms. This thesis proposes a new approach to the design and operation of building management systems using rule-based artificial intelligence techniques. The main aim of is to manage the services in the building in a more co-ordinated and intelligent manner than is possible by conventional techniques. This approach also aims to reduce the operational cost of the building by automatically tuning the energy consumption in accordance with occupancy profile of the building. A rule-based design methodology is proposed for building management systems. The design adopts the integrated structure made possible by the introduction of a common communications network for building services. The 'intelligence' is coded in the form of rules in such a way that it is both independent of any specific building description and easy to facilitate subsequent modification and addition. This is achieved using an object-oriented approach and classifying the range of data available into defined classes. The rules are divided into two knowledge-bases which are concerned with the building's control and its facilities management respectively. A wide range of rule-based features are proposed to operate on this data structure and are classified in terms of the data classes on which they operate. The concepts presented in this thesis were evaluated using software simulations, mathematical analysis and some hardware implementation. The conclusions of this work are that a rule-based building management system could provide significant enhancements over existing systems in terms of energy savings and improvements for both the building's management staff and its occupants

Mapping the State of Financial Stability

The paper uses the Self-Organizing Map for mapping the state of financial stability and visualizing the sources of systemic risks on a two-dimensional plane as well as for predicting systemic financial crises. The Self-Organizing Financial Stability Map (SOFSM) enables a two-dimensional representation of a multidimensional financial stability space and thus allows disentangling the individual sources impacting on systemic risks. The SOFSM can be used to monitor macro-financial vulnerabilities by locating a country in the financial stability cycle: being it either in the pre-crisis, crisis, post-crisis or tranquil state. In addition, the SOFSM performs better than or equally well as a logit model in classifying in-sample data and predicting out-of-sample the global financial crisis that started in 2007. Model robustness is tested by varying the thresholds of the models, the policymaker’s preferences, and the forecasting horizon.systemic financial crisis; systemic risk; self-organizing maps; visualisation; prediction; macroprudential supervision

Predictive Head Tracking for Virtual Reality

In virtual reality (VR), head movement is tracked through inertial and optical sensors. Computation and communication times result in delays between measurements and updating of the new frame in the head mounted display(HMD). These delays result in problems, including motion sickness. We use recurrent and time delay neural networks to predict the head location and use it to calculate the new frame. A predictability analysis is used in designing the prediction syste

A Hybrid Machine Learning System for Stock Market Forecasting

A hybrid machine learning system based on Genetic Algorithm (GA) and Time Series Analysis is proposed. In stock market, a technical trading rule is a popular tool for analysts and users to do their research and decide to buy or sell their shares. The key issue for the success of a trading rule is the selection of values for all parameters and their combinations. However, the range of parameters can vary in a large domain, so it is difficult for users to find the best parameter combination. In this paper, we present the Genetic Algorithm (GA) to overcome the problem in two steps. First, setting a sub-domain of the parameters with GA. Second, finding a near optimal value in the sub domain with GA and Time Series Analysis in a very reasonable time

NeuDetect: A neural network data mining system for wireless network intrusion detection

This thesis proposes an Intrusion Detection System, NeuDetect, which applies Neural Network technique to wireless network packets captured through hardware sensors for purposes of real time detection of anomalous packets. To address the problem of high false alarm rate confronted by the current wireless intrusion detection systems, this thesis presents a method of applying the artificial neural networks technique to the wireless network intrusion detection system. The proposed system solution approach is to find normal and anomalous patterns on preprocessed wireless packet records by comparing them with training data using Back-propagation algorithm. An anomaly score is assigned to each packet by calculating the difference between the output error and threshold. If the anomaly score is positive then the wireless packet is flagged as anomalous and is negative then the packet is flagged as normal. If the anomaly score is zero or close to zero it will be flagged as an unknown attack and will be sent back to training process for re-evaluation