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

Supervised ANN vs. unsupervised SOM to classify EEG data for BCI: why can GMDH do better?

Construction of a system for measuring the brain activity (electroencephalogram (EEG)) and recognising thinking patterns comprises significant challenges, in addition to the noise and distortion present in any measuring technique. One of the most major applications of measuring and understanding EGG is the brain-computer interface (BCI) technology. In this paper, ANNs (feedforward back -prop and Self Organising Maps) for EEG data classification will be implemented and compared to abductive-based networks, namely GMDH (Group Methods of Data Handling) to show how GMDH can optimally (i.e. noise and accuracy) classify a given set of BCI’s EEG signals. It is shown that GMDH provides such improvements. In this endeavour, EGG classification based on GMDH will be researched for comprehensible classification without scarifying accuracy. GMDH is suggested to be used to optimally classify a given set of BCI’s EEG signals. The other areas related to BCI will also be addressed yet within the context of this purpose

Metaheuristic design of feedforward neural networks: a review of two decades of research

Over the past two decades, the feedforward neural network (FNN) optimization has been a key interest among the researchers and practitioners of multiple disciplines. The FNN optimization is often viewed from the various perspectives: the optimization of weights, network architecture, activation nodes, learning parameters, learning environment, etc. Researchers adopted such different viewpoints mainly to improve the FNN's generalization ability. The gradient-descent algorithm such as backpropagation has been widely applied to optimize the FNNs. Its success is evident from the FNN's application to numerous real-world problems. However, due to the limitations of the gradient-based optimization methods, the metaheuristic algorithms including the evolutionary algorithms, swarm intelligence, etc., are still being widely explored by the researchers aiming to obtain generalized FNN for a given problem. This article attempts to summarize a broad spectrum of FNN optimization methodologies including conventional and metaheuristic approaches. This article also tries to connect various research directions emerged out of the FNN optimization practices, such as evolving neural network (NN), cooperative coevolution NN, complex-valued NN, deep learning, extreme learning machine, quantum NN, etc. Additionally, it provides interesting research challenges for future research to cope-up with the present information processing era

A genetic-algorithms based evolutionary computational neural network for modelling spatial interaction data

Building a feedforward computational neural network model (CNN) involves two distinct tasks: determination of the network topology and weight estimation. The specification of a problem adequate network topology is a key issue and the primary focus of this contribution. Up to now, this issue has been either completely neglected in spatial application domains, or tackled by search heuristics (see Fischer and Gopal 1994). With the view of modelling interactions over geographic space, this paper considers this problem as a global optimization problem and proposes a novel approach that embeds backpropagation learning into the evolutionary paradigm of genetic algorithms. This is accomplished by interweaving a genetic search for finding an optimal CNN topology with gradient-based backpropagation learning for determining the network parameters. Thus, the model builder will be relieved of the burden of identifying appropriate CNN-topologies that will allow a problem to be solved with simple, but powerful learning mechanisms, such as backpropagation of gradient descent errors. The approach has been applied to the family of three inputs, single hidden layer, single output feedforward CNN models using interregional telecommunication traffic data for Austria, to illustrate its performance and to evaluate its robustness.

A selective learning method to improve the generalization of multilayer feedforward neural networks.

Multilayer feedforward neural networks with backpropagation algorithm have been used successfully in many applications. However, the level of generalization is heavily dependent on the quality of the training data. That is, some of the training patterns can be redundant or irrelevant. It has been shown that with careful dynamic selection of training patterns, better generalization performance may be obtained. Nevertheless, generalization is carried out independently of the novel patterns to be approximated. In this paper, we present a learning method that automatically selects the training patterns more appropriate to the new sample to be predicted. This training method follows a lazy learning strategy, in the sense that it builds approximations centered around the novel sample. The proposed method has been applied to three different domains: two artificial approximation problems and a real time series prediction problem. Results have been compared to standard backpropagation using the complete training data set and the new method shows better generalization abilities.Publicad

Continuous-variable quantum neural networks

We introduce a general method for building neural networks on quantum computers. The quantum neural network is a variational quantum circuit built in the continuous-variable (CV) architecture, which encodes quantum information in continuous degrees of freedom such as the amplitudes of the electromagnetic field. This circuit contains a layered structure of continuously parameterized gates which is universal for CV quantum computation. Affine transformations and nonlinear activation functions, two key elements in neural networks, are enacted in the quantum network using Gaussian and non-Gaussian gates, respectively. The non-Gaussian gates provide both the nonlinearity and the universality of the model. Due to the structure of the CV model, the CV quantum neural network can encode highly nonlinear transformations while remaining completely unitary. We show how a classical network can be embedded into the quantum formalism and propose quantum versions of various specialized model such as convolutional, recurrent, and residual networks. Finally, we present numerous modeling experiments built with the Strawberry Fields software library. These experiments, including a classifier for fraud detection, a network which generates Tetris images, and a hybrid classical-quantum autoencoder, demonstrate the capability and adaptability of CV quantum neural networks