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

KNOWLEDGE-BASED NEURAL NETWORK FOR LINE FLOW CONTINGENCY SELECTION AND RANKING

The Line flow Contingency Selection and Ranking (CS & R) is performed to rank the critical contingencies in order of their severity. An Artificial Neural Network based method for MW security assessment corresponding to line outage events have been reported by various authors in the literature. One way to provide an understanding of the behaviour of Neural Networks is to extract rules that can be provided to the user. The domain knowledge (fuzzy rules extracted from Multi-layer Perceptron model trained by Back Propagation algorithm) is integrated into a Neural Network for fast and accurate CS & R in an IEEE 14-bus system, for unknown load patterns and are found to be suitable for on-line applications at Energy Management Centers. The system user is provided with the capability to determine the set of conditions under which a line-outage is critical, and if critical, then how severe it is, thereby providing some degree of transparency of the ANN solution

Online Planner Selection with Graph Neural Networks and Adaptive Scheduling

Automated planning is one of the foundational areas of AI. Since no single planner can work well for all tasks and domains, portfolio-based techniques have become increasingly popular in recent years. In particular, deep learning emerges as a promising methodology for online planner selection. Owing to the recent development of structural graph representations of planning tasks, we propose a graph neural network (GNN) approach to selecting candidate planners. GNNs are advantageous over a straightforward alternative, the convolutional neural networks, in that they are invariant to node permutations and that they incorporate node labels for better inference. Additionally, for cost-optimal planning, we propose a two-stage adaptive scheduling method to further improve the likelihood that a given task is solved in time. The scheduler may switch at halftime to a different planner, conditioned on the observed performance of the first one. Experimental results validate the effectiveness of the proposed method against strong baselines, both deep learning and non-deep learning based. The code is available at \url{https://github.com/matenure/GNN_planner}.Comment: AAAI 2020. Code is released at https://github.com/matenure/GNN_planner. Data set is released at https://github.com/IBM/IPC-graph-dat