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

Classification of damage in structural systems using time series analysis and supervised and unsupervised pattern recognition techniques

Peer reviewedPostprin

"The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry"

This paper is written as a tribute to Professors Robert Merton and Myron Scholes, winners of the 1997 Nobel Prize in economics, as well as to their collaborator, the late Professor Fischer Black. We first provide a brief and very selective review of their seminal work in contingent claims pricing. We then provide an overview of some of the recent research on stock price dynamics as it relates to contingent claim pricing. The continuing intensity of this research, some 25 years after the publication of the original Black-Scholes paper, must surely be regarded as the ultimate tribute to their work. We discuss jump-diffusion and stochastic volatility models, subordinated models, fractal models, and generalized binomial tree models, for stock price dynamics and option pricing. We also address questions as to whether derivatives trading poses a systemic risk in the context of models in which stock price movements are endogenized, and give our views on the "LTCM crisis" and liquidity risk.

The connected brain: Causality, models and intrinsic dynamics

Recently, there have been several concerted international efforts - the BRAIN initiative, European Human Brain Project and the Human Connectome Project, to name a few - that hope to revolutionize our understanding of the connected brain. Over the past two decades, functional neuroimaging has emerged as the predominant technique in systems neuroscience. This is foreshadowed by an ever increasing number of publications on functional connectivity, causal modeling, connectomics, and multivariate analyses of distributed patterns of brain responses. In this article, we summarize pedagogically the (deep) history of brain mapping. We will highlight the theoretical advances made in the (dynamic) causal modelling of brain function - that may have escaped the wider audience of this article - and provide a brief overview of recent developments and interesting clinical applications. We hope that this article will engage the signal processing community by showcasing the inherently multidisciplinary nature of this important topic and the intriguing questions that are being addressed

3rd Workshop in Symbolic Data Analysis: book of abstracts

This workshop is the third regular meeting of researchers interested in Symbolic Data Analysis. The main aim of the event is to favor the meeting of people and the exchange of ideas from different fields - Mathematics, Statistics, Computer Science, Engineering, Economics, among others - that contribute to Symbolic Data Analysis

ANN Forecasting Models for ISE National-100 Index

Prediction of the outputs of real world systems with accuracy and high speed is crucial in financial analysis due to its effects on worldwide economics. Because the inputs of the financial systems are timevarying functions, the development of algorithms and methods for modeling such systems cannot be neglected. The most appropriate forecasting model for the ISE national-100 index was investigated. Box- Jenkins autoregressive integrated moving average (ARIMA) and artificial neural networks (ANN) are considered by using several evaluations. Results showed that the ANN model with linear architecture better fits the candidate data

Sequential Empirical Bayes method for filtering dynamic spatiotemporal processes

We consider online prediction of a latent dynamic spatiotemporal process and estimation of the associated model parameters based on noisy data. The problem is motivated by the analysis of spatial data arriving in real-time and the current parameter estimates and predictions are updated using the new data at a fixed computational cost. Estimation and prediction is performed within an empirical Bayes framework with the aid of Markov chain Monte Carlo samples. Samples for the latent spatial field are generated using a sampling importance resampling algorithm with a skewed-normal proposal and for the temporal parameters using Gibbs sampling with their full conditionals written in terms of sufficient quantities which are updated online. The spatial range parameter is estimated by a novel online implementation of an empirical Bayes method, called herein sequential empirical Bayes method. A simulation study shows that our method gives similar results as an offline Bayesian method. We also find that the skewed-normal proposal improves over the traditional Gaussian proposal. The application of our method is demonstrated for online monitoring of radiation after the Fukushima nuclear accident

Computational methods for analysis and modeling of time-course gene expression data

Genes encode proteins, some of which in turn regulate other genes. Such interactions make up gene regulatory relationships or (dynamic) gene regulatory networks. With advances in the measurement technology for gene expression and in genome sequencing, it has become possible to measure the expression level of thousands of genes simultaneously in a cell at a series of time points over a specific biological process. Such time-course gene expression data may provide a snapshot of most (if not all) of the interesting genes and may lead to a better understanding gene regulatory relationships and networks. However, inferring either gene regulatory relationships or networks puts a high demand on powerful computational methods that are capable of sufficiently mining the large quantities of time-course gene expression data, while reducing the complexity of the data to make them comprehensible. This dissertation presents several computational methods for inferring gene regulatory relationships and gene regulatory networks from time-course gene expression. These methods are the result of the author’s doctoral study. Cluster analysis plays an important role for inferring gene regulatory relationships, for example, uncovering new regulons (sets of co-regulated genes) and their putative cis-regulatory elements. Two dynamic model-based clustering methods, namely the Markov chain model (MCM)-based clustering and the autoregressive model (ARM)-based clustering, are developed for time-course gene expression data. However, gene regulatory relationships based on cluster analysis are static and thus do not describe the dynamic evolution of gene expression over an observation period. The gene regulatory network is believed to be a time-varying system. Consequently, a state-space model for dynamic gene regulatory networks from time-course gene expression data is developed. To account for the complex time-delayed relationships in gene regulatory networks, the state space model is extended to be the one with time delays. Finally, a method based on genetic algorithms is developed to infer the time-delayed relationships in gene regulatory networks. Validations of all these developed methods are based on the experimental data available from well-cited public databases