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

A New Approach to Visual-Based Sensory System for Navigation into Orange Groves

One of the most important parts of an autonomous robot is to establish the path by which it should navigate in order to successfully achieve its goals. In the case of agricultural robotics, a procedure that determines this desired path can be useful. In this paper, a new virtual sensor is introduced in order to classify the elements of an orange grove. This proposed sensor will be based on a color CCD camera with auto iris lens which is in charge of doing the captures of the real environment and an ensemble of neural networks which processes the capture and differentiates each element of the image. Then, the Hough’s transform and other operations will be applied in order to extract the desired path from the classification performed by the virtual sensory system. With this approach, the robotic system can correct its deviation with respect to the desired path. The results show that the sensory system properly classifies the elements of the grove and can set trajectory of the robot

Individual and ensemble functional link neural networks for data classification

This study investigated the Functional Link Neural Network (FLNN) for solving data classification problems. FLNN based models were developed using evolutionary methods as well as ensemble methods. The outcomes of the experiments covering benchmark classification problems, positively demonstrated the efficacy of the proposed models for undertaking data classification problems

µG2-ELM: an upgraded implementation of µ G-ELM

µG-ELM is a multiobjective evolutionary algorithm which looks for the best (in terms of the MSE) and most compact artificial neural network using the ELM methodology. In this work we present the µG2-ELM, an upgraded version of µG-ELM, previously presented by the authors. The upgrading is based on three key elements: a specifically designed approach for the initialization of the weights of the initial artificial neural networks, the introduction of a re-sowing process when selecting the population to be evolved and a change of the process used to modify the weights of the artificial neural networks. To test our proposal we consider several state-of-the-art Extreme Learning Machine (ELM) algorithms and we confront them using a wide and well-known set of continuous, regression and classification problems. From the conducted experiments it is proved that the µG2-ELM shows a better general performance than the previous version and also than other competitors. Therefore, we can guess that the combination of evolutionary algorithms with the ELM methodology is a promising subject of study since both together allow for the design of better training algorithms for artificial neural networks

Short-Term Electricity Demand Forecasting with Machine Learning

Project Work presented as the partial requirement for obtaining a Master's degree in Data Science and Advanced Analytics, specialization in Business AnalyticsAn accurate short-term load forecasting (STLF) is one of the most critical inputs for power plant units’ planning commitment. STLF reduces the overall planning uncertainty added by the intermittent production of renewable sources; thus, it helps to minimize the hydro-thermal electricity production costs in a power grid. Although there is some research in the field and even several research applications, there is a continual need to improve forecasts. This project proposes a set of machine learning (ML) models to improve the accuracy of 168 hours forecasts. The developed models employ features from multiple sources, such as historical load, weather, and holidays. Of the five ML models developed and tested in various load profile contexts, the Extreme Gradient Boosting Regressor (XGBoost) algorithm showed the best results, surpassing previous historical weekly predictions based on neural networks. Additionally, because XGBoost models are based on an ensemble of decision trees, it facilitated the model’s interpretation, which provided a relevant additional result, the features’ importance in the forecasting

Short-term electricity load forecasting with machine learning

An accurate short-term load forecasting (STLF) is one of the most critical inputs for power plant units’ planning commitment. STLF reduces the overall planning uncertainty added by the intermittent production of renewable sources; thus, it helps to minimize the hydrothermal electricity production costs in a power grid. Although there is some research in the field and even several research applications, there is a continual need to improve forecasts. This research proposes a set of machine learning (ML) models to improve the accuracy of 168 h forecasts. The developed models employ features from multiple sources, such as historical load, weather, and holidays. Of the five ML models developed and tested in various load profile contexts, the Extreme Gradient Boosting Regressor (XGBoost) algorithm showed the best results, surpassing previous historical weekly predictions based on neural networks. Additionally, because XGBoost models are based on an ensemble of decision trees, it facilitated the model’s interpretation, which provided a relevant additional result, the features’ importance in the forecasting.info:eu-repo/semantics/publishedVersio

Using Statistics, Computational Modelling and Artificial Intelligence Methods to Study and Strengthen the Link between Kinematic Impacts and mTBIs

Mild traumatic brain injuries (mTBIs) are frequently occurring, yet poorly understood, injuries in sports (e.g., ice hockey) and other physical recreation activities where head impacts occur. Helmets are essential pieces of equipment used to protect participants’ heads from mTBIs. Evaluating the performance of helmets to prevent mTBIs using simulations on anatomically accurate computational head finite element models is critically important for advancing the development of safer helmets. Advancing the level of detail in, and access to, such models, and their continued validation through state-of-the-art brain imaging methods and traditional head injury assessment procedures, is also essential to improve safety. The significant research contributions in this thesis involve evaluating the decrease in blunt impact-induced brain axon fiber tract strains that various helmets provide by studying outputs of existing finite element brain models and implementing open-source artificial intelligence technology to create a novel pipeline for predicting such strains

Novel Computationally Intelligent Machine Learning Algorithms for Data Mining and Knowledge Discovery

This thesis addresses three major issues in data mining regarding feature subset selection in large dimensionality domains, plausible reconstruction of incomplete data in cross-sectional applications, and forecasting univariate time series. For the automated selection of an optimal subset of features in real time, we present an improved hybrid algorithm: SAGA. SAGA combines the ability to avoid being trapped in local minima of Simulated Annealing with the very high convergence rate of the crossover operator of Genetic Algorithms, the strong local search ability of greedy algorithms and the high computational efficiency of generalized regression neural networks (GRNN). For imputing missing values and forecasting univariate time series, we propose a homogeneous neural network ensemble. The proposed ensemble consists of a committee of Generalized Regression Neural Networks (GRNNs) trained on different subsets of features generated by SAGA and the predictions of base classifiers are combined by a fusion rule. This approach makes it possible to discover all important interrelations between the values of the target variable and the input features. The proposed ensemble scheme has two innovative features which make it stand out amongst ensemble learning algorithms: (1) the ensemble makeup is optimized automatically by SAGA; and (2) GRNN is used for both base classifiers and the top level combiner classifier. Because of GRNN, the proposed ensemble is a dynamic weighting scheme. This is in contrast to the existing ensemble approaches which belong to the simple voting and static weighting strategy. The basic idea of the dynamic weighting procedure is to give a higher reliability weight to those scenarios that are similar to the new ones. The simulation results demonstrate the validity of the proposed ensemble model