8,942 research outputs found

    Modeling Financial Time Series with Artificial Neural Networks

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    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

    Soft computing techniques applied to finance

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    Soft computing is progressively gaining presence in the financial world. The number of real and potential applications is very large and, accordingly, so is the presence of applied research papers in the literature. The aim of this paper is both to present relevant application areas, and to serve as an introduction to the subject. This paper provides arguments that justify the growing interest in these techniques among the financial community and introduces domains of application such as stock and currency market prediction, trading, portfolio management, credit scoring or financial distress prediction areas.Publicad

    Multi-learner based recursive supervised training

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    In this paper, we propose the Multi-Learner Based Recursive Supervised Training (MLRT) algorithm which uses the existing framework of recursive task decomposition, by training the entire dataset, picking out the best learnt patterns, and then repeating the process with the remaining patterns. Instead of having a single learner to classify all datasets during each recursion, an appropriate learner is chosen from a set of three learners, based on the subset of data being trained, thereby avoiding the time overhead associated with the genetic algorithm learner utilized in previous approaches. In this way MLRT seeks to identify the inherent characteristics of the dataset, and utilize it to train the data accurately and efficiently. We observed that empirically, MLRT performs considerably well as compared to RPHP and other systems on benchmark data with 11% improvement in accuracy on the SPAM dataset and comparable performances on the VOWEL and the TWO-SPIRAL problems. In addition, for most datasets, the time taken by MLRT is considerably lower than the other systems with comparable accuracy. Two heuristic versions, MLRT-2 and MLRT-3 are also introduced to improve the efficiency in the system, and to make it more scalable for future updates. The performance in these versions is similar to the original MLRT system

    Unbalanced load flow with hybrid wavelet transform and support vector machine based Error-Correcting Output Codes for power quality disturbances classification including wind energy

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    Purpose. The most common methods to designa multiclass classification consist to determine a set of binary classifiers and to combine them. In this paper support vector machine with Error-Correcting Output Codes (ECOC-SVM) classifier is proposed to classify and characterize the power qualitydisturbances such as harmonic distortion,voltage sag, and voltage swell include wind farms generator in power transmission systems. Firstly three phases unbalanced load flow analysis is executed to calculate difference electric network characteristics, levels of voltage, active and reactive power. After, discrete wavelet transform is combined with the probabilistic ECOC-SVM model to construct the classifier. Finally, the ECOC-SVM classifies and identifies the disturbance type according tothe energy deviation of the discrete wavelet transform. The proposedmethod gives satisfactory accuracy with 99.2% compared with well known methods and shows that each power quality disturbances has specific deviations from the pure sinusoidal waveform,this is good at recognizing and specifies the type of disturbance generated from the wind power generator.Наиболее распространенные методы построения мультиклассовой классификации заключаются в определении набора двоичных классификаторов и их объединении. В данной статье предложена машина опорных векторов с классификатором выходных кодов исправления ошибок(ECOC-SVM) с целью классифицировать и характеризовать такие нарушения качества электроэнергии, как гармонические искажения, падение напряжения и скачок напряжения, включая генератор ветровых электростанций в системах передачи электроэнергии. Сначала выполняется анализ потока несимметричной нагрузки трех фаз для расчета разностных характеристик электрической сети, уровней напряжения, активной и реактивной мощности. После этого дискретное вейвлет-преобразование объединяется с вероятностной моделью ECOC-SVM для построения классификатора. Наконец, ECOC-SVM классифицирует и идентифицирует тип возмущения в соответствии с отклонением энергии дискретного вейвлет-преобразования. Предложенный метод дает удовлетворительную точность 99,2% по сравнению с хорошо известными методами и показывает, что каждое нарушение качества электроэнергии имеет определенные отклонения от чисто синусоидальной формы волны, что способствует распознаванию и определению типа возмущения, генерируемого ветровым генератором
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