Forecasting foreign exchange rates with adaptive neural networks using radial basis functions and particle swarm optimization

The motivation for this paper is to introduce a hybrid Neural Network architecture of Particle Swarm Optimization and Adaptive Radial Basis Function (ARBF-PSO), a time varying leverage trading strategy based on Glosten, Jagannathan and Runkle (GJR) volatility forecasts and a Neural Network fitness function for financial forecasting purposes. This is done by benchmarking the ARBF-PSO results with those of three different Neural Networks architectures, a Nearest Neighbors algorithm (k-NN), an autoregressive moving average model (ARMA), a moving average convergence/divergence model (MACD) plus a naïve strategy. More specifically, the trading and statistical performance of all models is investigated in a forecast simulation of the EUR/USD, EUR/GBP and EUR/JPY ECB exchange rate fixing time series over the period January 1999 to March 2011 using the last two years for out-of-sample testing

Batch Reinforcement Learning on the Industrial Benchmark: First Experiences

The Particle Swarm Optimization Policy (PSO-P) has been recently introduced and proven to produce remarkable results on interacting with academic reinforcement learning benchmarks in an off-policy, batch-based setting. To further investigate the properties and feasibility on real-world applications, this paper investigates PSO-P on the so-called Industrial Benchmark (IB), a novel reinforcement learning (RL) benchmark that aims at being realistic by including a variety of aspects found in industrial applications, like continuous state and action spaces, a high dimensional, partially observable state space, delayed effects, and complex stochasticity. The experimental results of PSO-P on IB are compared to results of closed-form control policies derived from the model-based Recurrent Control Neural Network (RCNN) and the model-free Neural Fitted Q-Iteration (NFQ). Experiments show that PSO-P is not only of interest for academic benchmarks, but also for real-world industrial applications, since it also yielded the best performing policy in our IB setting. Compared to other well established RL techniques, PSO-P produced outstanding results in performance and robustness, requiring only a relatively low amount of effort in finding adequate parameters or making complex design decisions

Unsupervised Heart-rate Estimation in Wearables With Liquid States and A Probabilistic Readout

Heart-rate estimation is a fundamental feature of modern wearable devices. In this paper we propose a machine intelligent approach for heart-rate estimation from electrocardiogram (ECG) data collected using wearable devices. The novelty of our approach lies in (1) encoding spatio-temporal properties of ECG signals directly into spike train and using this to excite recurrently connected spiking neurons in a Liquid State Machine computation model; (2) a novel learning algorithm; and (3) an intelligently designed unsupervised readout based on Fuzzy c-Means clustering of spike responses from a subset of neurons (Liquid states), selected using particle swarm optimization. Our approach differs from existing works by learning directly from ECG signals (allowing personalization), without requiring costly data annotations. Additionally, our approach can be easily implemented on state-of-the-art spiking-based neuromorphic systems, offering high accuracy, yet significantly low energy footprint, leading to an extended battery life of wearable devices. We validated our approach with CARLsim, a GPU accelerated spiking neural network simulator modeling Izhikevich spiking neurons with Spike Timing Dependent Plasticity (STDP) and homeostatic scaling. A range of subjects are considered from in-house clinical trials and public ECG databases. Results show high accuracy and low energy footprint in heart-rate estimation across subjects with and without cardiac irregularities, signifying the strong potential of this approach to be integrated in future wearable devices.Comment: 51 pages, 12 figures, 6 tables, 95 references. Under submission at Elsevier Neural Network

A Particle Swarm Optimization-based Flexible Convolutional Auto-Encoder for Image Classification

Convolutional auto-encoders have shown their remarkable performance in stacking to deep convolutional neural networks for classifying image data during past several years. However, they are unable to construct the state-of-the-art convolutional neural networks due to their intrinsic architectures. In this regard, we propose a flexible convolutional auto-encoder by eliminating the constraints on the numbers of convolutional layers and pooling layers from the traditional convolutional auto-encoder. We also design an architecture discovery method by using particle swarm optimization, which is capable of automatically searching for the optimal architectures of the proposed flexible convolutional auto-encoder with much less computational resource and without any manual intervention. We use the designed architecture optimization algorithm to test the proposed flexible convolutional auto-encoder through utilizing one graphic processing unit card on four extensively used image classification datasets. Experimental results show that our work in this paper significantly outperform the peer competitors including the state-of-the-art algorithm.Comment: Accepted by IEEE Transactions on Neural Networks and Learning Systems, 201

Modified Cellular Simultaneous Recurrent Networks with Cellular Particle Swarm Optimization

A cellular simultaneous recurrent network (CSRN) [1-11] is a neural network architecture that uses conventional simultaneous recurrent networks (SRNs), or cells in a cellular structure. The cellular structure adds complexity, so the training of CSRNs is far more challenging than that of conventional SRNs. Computer Go serves as an excellent test bed for CSRNs because of its clear-cut objective. For the training data, we developed an accurate theoretical foundation and game tree for the 2x2 game board. The conventional CSRN architecture suffers from the multi-valued function problem; our modified CSRN architecture overcomes the problem by employing ternary coding of the Go board\u27s representation and a normalized input dimension reduction. We demonstrate a 2x2 game tree trained with the proposed CSRN architecture and the proposed cellular particle swarm optimization

Modeling, forecasting and trading the EUR exchange rates with hybrid rolling genetic algorithms: support vector regression forecast combinations

The motivation of this paper is to introduce a hybrid Rolling Genetic Algorithm-Support Vector Regression (RG-SVR) model for optimal parameter selection and feature subset combination. The algorithm is applied to the task of forecasting and trading the EUR/USD, EUR/GBP and EUR/JPY exchange rates. The proposed methodology genetically searches over a feature space (pool of individual forecasts) and then combines the optimal feature subsets (SVR forecast combinations) for each exchange rate. This is achieved by applying a fitness function specialized for financial purposes and adopting a sliding window approach. The individual forecasts are derived from several linear and non-linear models. RG-SVR is benchmarked against genetically and non-genetically optimized SVRs and SVMs models that are dominating the relevant literature, along with the robust ARBF-PSO neural network. The statistical and trading performance of all models is investigated during the period of 1999–2012. As it turns out, RG-SVR presents the best performance in terms of statistical accuracy and trading efficiency for all the exchange rates under study. This superiority confirms the success of the implemented fitness function and training procedure, while it validates the benefits of the proposed algorithm