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

Estimation of physical variables from multichannel remotely sensed imagery using a neural network: Application to rainfall estimation

Satellite-based remotely sensed data have the potential to provide hydrologically relevant information about spatially and temporally varying physical variables. A methodology for estimating such variables from multichannel remotely sensed data is presented; the approach is based on a modified counterpropagation neural network (MCPN) and is both effective and efficient at building complex nonlinear input-output function mappings from large amounts of data. An application to high-resolution estimation of the spatial and temporal variation of surface rainfall using geostationary satellite infrared and visible imagery is presented. Test results also indicate that spatially and temporally sparse ground-based observations can be assimilated via an adaptive implementation of the MCPN method, thereby allowing on-line improvement of the estimates

Building Adaptive Basis Functions with a Continuous SOM

This paper introduces CSOM, a distributed version of the Self-Organizing Map network capable of generating maps similar to those created with the original algorithm. Due to the continuous nature of the mapping, CSOM outperforms the traditional SOM algorithm in function approximation tasks. System performance is illustrated with three examples

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

Building Adaptive Basis Functions with a Continuous Self-Organizing Map

This paper introduces CSOM, a continuous version of the Self-Organizing Map (SOM). The CSOM network generates maps similar to those created with the original SOM algorithm but, due to the continuous nature of the mapping, CSOM outperforms the SOM on function approximation tasks. CSOM integrates self-organization and smooth prediction into a single process. This is a departure from previous work that required two training phases, one to self-organize a map using the SOM algorithm, and another to learn a smooth approximation of a function. System performance is illustrated with three examples.Office of Naval Research (N00014-95-10409, N00014-95-0657

Deep Learning: Our Miraculous Year 1990-1991

In 2020, we will celebrate that many of the basic ideas behind the deep learning revolution were published three decades ago within fewer than 12 months in our "Annus Mirabilis" or "Miraculous Year" 1990-1991 at TU Munich. Back then, few people were interested, but a quarter century later, neural networks based on these ideas were on over 3 billion devices such as smartphones, and used many billions of times per day, consuming a significant fraction of the world's compute.Comment: 37 pages, 188 references, based on work of 4 Oct 201

An Overview of the Use of Neural Networks for Data Mining Tasks

In the recent years the area of data mining has experienced a considerable demand for technologies that extract knowledge from large and complex data sources. There is a substantial commercial interest as well as research investigations in the area that aim to develop new and improved approaches for extracting information, relationships, and patterns from datasets. Artificial Neural Networks (NN) are popular biologically inspired intelligent methodologies, whose classification, prediction and pattern recognition capabilities have been utilised successfully in many areas, including science, engineering, medicine, business, banking, telecommunication, and many other fields. This paper highlights from a data mining perspective the implementation of NN, using supervised and unsupervised learning, for pattern recognition, classification, prediction and cluster analysis, and focuses the discussion on their usage in bioinformatics and financial data analysis tasks