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

Comparison Between Supervised and Unsupervised Classifications of Neuronal Cell Types: A Case Study

In the study of neural circuits, it becomes essential to discern the different neuronal cell types that build the circuit. Traditionally, neuronal cell types have been classified using qualitative descriptors. More recently, several attempts have been made to classify neurons quantitatively, using unsupervised clustering methods. While useful, these algorithms do not take advantage of previous information known to the investigator, which could improve the classification task. For neocortical GABAergic interneurons, the problem to discern among different cell types is particularly difficult and better methods are needed to perform objective classifications. Here we explore the use of supervised classification algorithms to classify neurons based on their morphological features, using a database of 128 pyramidal cells and 199 interneurons from mouse neocortex. To evaluate the performance of different algorithms we used, as a “benchmark,” the test to automatically distinguish between pyramidal cells and interneurons, defining “ground truth” by the presence or absence of an apical dendrite. We compared hierarchical clustering with a battery of different supervised classification algorithms, finding that supervised classifications outperformed hierarchical clustering. In addition, the selection of subsets of distinguishing features enhanced the classification accuracy for both sets of algorithms. The analysis of selected variables indicates that dendritic features were most useful to distinguish pyramidal cells from interneurons when compared with somatic and axonal morphological variables. We conclude that supervised classification algorithms are better matched to the general problem of distinguishing neuronal cell types when some information on these cell groups, in our case being pyramidal or interneuron, is known a priori. As a spin-off of this methodological study, we provide several methods to automatically distinguish neocortical pyramidal cells from interneurons, based on their morphologies