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

Random Neural Networks and Optimisation

In this thesis we introduce new models and learning algorithms for the Random Neural Network (RNN), and we develop RNN-based and other approaches for the solution of emergency management optimisation problems. With respect to RNN developments, two novel supervised learning algorithms are proposed. The first, is a gradient descent algorithm for an RNN extension model that we have introduced, the RNN with synchronised interactions (RNNSI), which was inspired from the synchronised firing activity observed in brain neural circuits. The second algorithm is based on modelling the signal-flow equations in RNN as a nonnegative least squares (NNLS) problem. NNLS is solved using a limited-memory quasi-Newton algorithm specifically designed for the RNN case. Regarding the investigation of emergency management optimisation problems, we examine combinatorial assignment problems that require fast, distributed and close to optimal solution, under information uncertainty. We consider three different problems with the above characteristics associated with the assignment of emergency units to incidents with injured civilians (AEUI), the assignment of assets to tasks under execution uncertainty (ATAU), and the deployment of a robotic network to establish communication with trapped civilians (DRNCTC). AEUI is solved by training an RNN tool with instances of the optimisation problem and then using the trained RNN for decision making; training is achieved using the developed learning algorithms. For the solution of ATAU problem, we introduce two different approaches. The first is based on mapping parameters of the optimisation problem to RNN parameters, and the second on solving a sequence of minimum cost flow problems on appropriately constructed networks with estimated arc costs. For the exact solution of DRNCTC problem, we develop a mixed-integer linear programming formulation, which is based on network flows. Finally, we design and implement distributed heuristic algorithms for the deployment of robots when the civilian locations are known or uncertain