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

"Selection of Input Parameters for Multivariate Classifiersin Proactive Machine Health Monitoring by Clustering Envelope Spectrum Harmonics"

In condition monitoring (CM) signal analysis the inherent problem of key characteristics being masked by noise can be addressed by analysis of the signal envelope. Envelope analysis of vibration signals is effective in extracting useful information for diagnosing different faults. However, the number of envelope features is generally too large to be effectively incorporated in system models. In this paper a novel method of extracting the pertinent information from such signals based on multivariate statistical techniques is developed which substantialy reduces the number of input parameters required for data classification models. This was achieved by clustering possible model variables into a number of homogeneous groups to assertain levels of interdependency. Representatives from each of the groups were selected for their power to discriminate between the categorical classes. The techniques established were applied to a reciprocating compressor rig wherein the target was identifying machine states with respect to operational health through comparison of signal outputs for healthy and faulty systems. The technique allowed near perfect fault classification. In addition methods for identifying seperable classes are investigated through profiling techniques, illustrated using Andrew’s Fourier curves

Sparse Allreduce: Efficient Scalable Communication for Power-Law Data

Many large datasets exhibit power-law statistics: The web graph, social networks, text data, click through data etc. Their adjacency graphs are termed natural graphs, and are known to be difficult to partition. As a consequence most distributed algorithms on these graphs are communication intensive. Many algorithms on natural graphs involve an Allreduce: a sum or average of partitioned data which is then shared back to the cluster nodes. Examples include PageRank, spectral partitioning, and many machine learning algorithms including regression, factor (topic) models, and clustering. In this paper we describe an efficient and scalable Allreduce primitive for power-law data. We point out scaling problems with existing butterfly and round-robin networks for Sparse Allreduce, and show that a hybrid approach improves on both. Furthermore, we show that Sparse Allreduce stages should be nested instead of cascaded (as in the dense case). And that the optimum throughput Allreduce network should be a butterfly of heterogeneous degree where degree decreases with depth into the network. Finally, a simple replication scheme is introduced to deal with node failures. We present experiments showing significant improvements over existing systems such as PowerGraph and Hadoop

Selection of Input Parameters for Multivariate Classifiers in Proactive Machine Health Monitoring by Clustering Envelope Spectrum Harmonics

In condition monitoring (CM) signal analysis the inherent problem of key characteristics being masked by noise can be addressed by analysis of the signal envelope. Envelope analysis of vibration signals is effective in extracting useful information for diagnosing different faults. However, the number of envelope features is generally too large to be effectively incorporated in system models. In this paper a novel method of extracting the pertinent information from such signals based on multivariate statistical techniques is developed which substantialy reduces the number of input parameters required for data classification models. This was achieved by clustering possible model variables into a number of homogeneous groups to assertain levels of interdependency. Representatives from each of the groups were selected for their power to discriminate between the categorical classes. The techniques established were applied to a reciprocating compressor rig wherein the target was identifying machine states with respect to operational health through comparison of signal outputs for healthy and faulty systems. The technique allowed near perfect fault classification. In addition methods for identifying seperable classes are investigated through profiling techniques, illustrated using Andrew’s Fourier curves