3,649 research outputs found
Financial Computational Intelligence
Artificial intelligence decision support system is always a popular topic in providing the human with an optimized decision recommendation when operating under uncertainty in complex environments. The particular focus of our discussion is to compare different methods of artificial intelligence decision support systems in the investment domain – the goal of investment decision-making is to select an optimal portfolio that satisfies the investor’s objective, or, in other words, to maximize the investment returns under the constraints given by investors. In this study we apply several artificial intelligence systems like Influence Diagram (a special type of Bayesian network), Decision Tree and Neural Network to get experimental comparison analysis to help users to intelligently select the best portfoliArtificial intelligence, neural network, decision tree, bayesian network
A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks
We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks. Although not a substitute for the more traditional arbitrage-based pricing formulas, network pricing formulas may be more accurate and computationally more efficient alternatives when the underlying asset's price dynamics are unknown, or when the pricing equation associated with no-arbitrage condition cannot be solved analytically. To assess the potential value of network pricing formulas, we simulate Black-Scholes option prices and show that learning networks can recover the Black-Scholes formula from a two-year training set of daily options prices, and that the resulting network formula can be used successfully to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods: ordinary least squares, radial basis function networks, multilayer perceptron networks, and projection pursuit. To illustrate the practical relevance of our network pricing approach, we apply it to the pricing and delta-hedging of S&P 500 futures options from 1987 to 1991.
Prediction for Stock Marketing Using Machine Learning
Stock market prediction is the act of trying to determine the future value of a company stock or other financial instrument traded on an exchange. The successful prediction of a stock's future price could yield significant profit. This paper will showcase how to perform stock prediction using Machine Learning algorithms: Linear Regression, Random Forest and Multilayer Perceptron
Neural-Augmented Static Analysis of Android Communication
We address the problem of discovering communication links between
applications in the popular Android mobile operating system, an important
problem for security and privacy in Android. Any scalable static analysis in
this complex setting is bound to produce an excessive amount of
false-positives, rendering it impractical. To improve precision, we propose to
augment static analysis with a trained neural-network model that estimates the
probability that a communication link truly exists. We describe a
neural-network architecture that encodes abstractions of communicating objects
in two applications and estimates the probability with which a link indeed
exists. At the heart of our architecture are type-directed encoders (TDE), a
general framework for elegantly constructing encoders of a compound data type
by recursively composing encoders for its constituent types. We evaluate our
approach on a large corpus of Android applications, and demonstrate that it
achieves very high accuracy. Further, we conduct thorough interpretability
studies to understand the internals of the learned neural networks.Comment: Appears in Proceedings of the 2018 ACM Joint European Software
Engineering Conference and Symposium on the Foundations of Software
Engineering (ESEC/FSE
Enhanced news sentiment analysis using deep learning methods
We explore the predictive power of historical news sentiments based on financial market performance to forecast financial news sentiments. We define news sentiments based on stock price returns averaged over one minute right after a news article has been released. If the stock price exhibits positive (negative) return, we classify the news article released just prior to the observed stock return as positive (negative). We use Wikipedia and Gigaword five corpus articles from 2014 and we apply the global vectors for word representation method to this corpus to create word vectors to use as inputs into the deep learning TensorFlow network. We analyze high-frequency (intraday) Thompson Reuters News Archive as well as the high-frequency price tick history of the Dow Jones Industrial Average (DJIA 30) Index individual stocks for the period between 1/1/2003 and 12/30/2013. We apply a combination of deep learning methodologies of recurrent neural network with long short-term memory units to train the Thompson Reuters News Archive Data from 2003 to 2012, and we test the forecasting power of our method on 2013 News Archive data. We find that the forecasting accuracy of our methodology improves when we switch from random selection of positive and negative news to selecting the news with highest positive scores as positive news and news with highest negative scores as negative news to create our training data set.Published versio
The Multilayer Structure of Corporate Networks
Various company interactions can be described by networks, for instance the
ownership networks and the board membership networks. To understand the
ecosystem of companies, these interactions cannot be seen in isolation. For
this purpose we construct a new multilayer network of interactions between
companies in Germany and in the United Kingdom, combining ownership links,
social ties through joint board directors, R\&D collaborations and stock
correlations in one linked multiplex dataset. We describe the features of this
network and show there exists a non-trivial overlap between these different
types of networks, where the different types of connections complement each
other and make the overall structure more complex. This highlights that
corporate control, boardroom influence and other connections have different
structures and together make an even smaller corporate world than previously
reported. We have a first look at the relation between company performance and
location in the network structure.Comment: 14 pages, 5 figures, 3 table
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