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

Function Approximation With Multilayered Perceptrons Using L1 Criterion

Kaedah ralat kuasa dua terkecil atau kaedah kriteria L2 biasanya digunakan bagi persoalan penghampiran fungsian dan pengitlakan di dalam algoritma perambatan balik ralat. Tujuan kajian ini adalah untuk mempersembahkan suatu kriteria ralat mutlak terkecil bagi perambatan balik sigmoid selain daripada kriteria ralat kuasa dua terkecil yang biasa digunakan. Kami membentangkan struktur fungsi ralat untuk diminimumkan serta hasil pembezaan terhadap pemberat yang akan dikemaskinikan. Tumpuan ·kajian ini ialah terhadap model perseptron multilapisan yang mempunyai satu lapisan tersembunyi tetapi perlaksanaannya boleh dilanjutkan kepada model yang mempunyai dua atau lebih lapisan tersembunyi. The least squares error or L2 criterion approach has been commonly used in functional approximation and generalization in the error backpropagation algorithm. The purpose of this study is to present an absolute error criterion for the sigmoidal backpropagatioll I rather than the usual least squares error criterion. We present the structure of the error function to be minimized and its derivatives with respect to the weights to be updated. The focus in the study is on the single hidden layer multilayer perceptron (MLP) but the implementation may be extended to include two or more hidden layers

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

Context-Specific Preference Learning of One Dimensional Quantitative Geospatial Attributes Using a Neuro-Fuzzy Approach

Change detection is a topic of great importance for modern geospatial information systems. Digital aerial imagery provides an excellent medium to capture geospatial information. Rapidly evolving environments, and the availability of increasing amounts of diverse, multiresolutional imagery bring forward the need for frequent updates of these datasets. Analysis and query of spatial data using potentially outdated data may yield results that are sometimes invalid. Due to measurement errors (systematic, random) and incomplete knowledge of information (uncertainty) it is ambiguous if a change in a spatial dataset has really occurred. Therefore we need to develop reliable, fast, and automated procedures that will effectively report, based on information from a new image, if a change has actually occurred or this change is simply the result of uncertainty. This thesis introduces a novel methodology for change detection in spatial objects using aerial digital imagery. The uncertainty of the extraction is used as a quality estimate in order to determine whether change has occurred. For this goal, we develop a fuzzy-logic system to estimate uncertainty values fiom the results of automated object extraction using active contour models (a.k.a. snakes). The differential snakes change detection algorithm is an extension of traditional snakes that incorporates previous information (i.e., shape of object and uncertainty of extraction) as energy functionals. This process is followed by a procedure in which we examine the improvement of the uncertainty at the absence of change (versioning). Also, we introduce a post-extraction method for improving the object extraction accuracy. In addition to linear objects, in this thesis we extend differential snakes to track deformations of areal objects (e.g., lake flooding, oil spills). From the polygonal description of a spatial object we can track its trajectory and areal changes. Differential snakes can also be used as the basis for similarity indices for areal objects. These indices are based on areal moments that are invariant under general affine transformation. Experimental results of the differential snakes change detection algorithm demonstrate their performance. More specifically, we show that the differential snakes minimize the false positives in change detection and track reliably object deformations