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

A genetic-algorithms based evolutionary computational neural network for modelling spatial interaction data

Building a feedforward computational neural network model (CNN) involves two distinct tasks: determination of the network topology and weight estimation. The specification of a problem adequate network topology is a key issue and the primary focus of this contribution. Up to now, this issue has been either completely neglected in spatial application domains, or tackled by search heuristics (see Fischer and Gopal 1994). With the view of modelling interactions over geographic space, this paper considers this problem as a global optimization problem and proposes a novel approach that embeds backpropagation learning into the evolutionary paradigm of genetic algorithms. This is accomplished by interweaving a genetic search for finding an optimal CNN topology with gradient-based backpropagation learning for determining the network parameters. Thus, the model builder will be relieved of the burden of identifying appropriate CNN-topologies that will allow a problem to be solved with simple, but powerful learning mechanisms, such as backpropagation of gradient descent errors. The approach has been applied to the family of three inputs, single hidden layer, single output feedforward CNN models using interregional telecommunication traffic data for Austria, to illustrate its performance and to evaluate its robustness.

The application of artificial neural networks and genetic algorithms to the estimation of electode response characteristics and stability constants

This introductory chapter establishes the theoretical and contextual background for the application of neural networks and genetic algorithms to solving chemical problems. This chapter is divided into three major sections, namely neural networks, genetic algorithms and a literature review of previous applications of these techniques. Each of these sections are further subdivided into subsections. In the case o f the neural networks section, the order of the subsections reflects a logical progression from small to large scale properties of biological neural systems. This progression is again expressed in the descriptions o f artificial neural networks (ANNs). A number of different ANN architectures which have found chemical applications or have been discussed in a cognitive context are described, with particular emphasis on the backpropagation training algorithm for feedforward networks. The genetic algorithms section mainly describes the formal framework underlying the use of the simple genetic algorithm (SGA) and Holland’s Schema Theorem. The applications section is divided into those applications which involved neural networks and those which involved genetic algorithms

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

Deep Learning: Our Miraculous Year 1990-1991

In 2020, we will celebrate that many of the basic ideas behind the deep learning revolution were published three decades ago within fewer than 12 months in our "Annus Mirabilis" or "Miraculous Year" 1990-1991 at TU Munich. Back then, few people were interested, but a quarter century later, neural networks based on these ideas were on over 3 billion devices such as smartphones, and used many billions of times per day, consuming a significant fraction of the world's compute.Comment: 37 pages, 188 references, based on work of 4 Oct 201

Causative factors of construction and demolition waste generation in Iraq Construction Industry

The construction industry has hurt the environment from the waste generated during construction activities. Thus, it calls for serious measures to determine the causative factors of construction waste generated. There are limited studies on factors causing construction, and demolition (C&D) waste generation, and these limited studies only focused on the quantification of construction waste. This study took the opportunity to identify the causative factors for the C&D waste generation and also to determine the risk level of each causal factor, and the most important minimization methods to avoiding generating waste. This study was carried out based on the quantitative approach. A total of 39 factors that causes construction waste generation that has been identified from the literature review were considered which were then clustered into 4 groups. Improved questionnaire surveys by 38 construction experts (consultants, contractors and clients) during the pilot study. The actual survey was conducted with a total of 380 questionnaires, received with a response rate of 83.3%. Data analysis was performed using SPSS software. Ranking analysis using the mean score approach found the five most significant causative factors which are poor site management, poor planning, lack of experience, rework and poor controlling. The result also indicated that the majority of the identified factors having a high-risk level, in addition, the better minimization method is environmental awareness. A structural model was developed based on the 4 groups of causative factors using the Partial Least Squared-Structural Equation Modelling (PLS-SEM) technique. It was found that the model fits due to the goodness of fit (GOF ≥ 0.36= 0.658, substantial). Based on the outcome of this study, 39 factors were relevant to the generation of construction and demolition waste in Iraq. These groups of factors should be avoided during construction works to reduce the waste generated. The findings of this study are helpful to authorities and stakeholders in formulating laws and regulations. Furthermore, it provides opportunities for future researchers to conduct additional research’s on the factors that contribute to construction waste generation

Optimization the initial weights of artificial neural networks via genetic algorithm applied to hip bone fracture prediction

This paper aims to find the optimal set of initial weights to enhance the accuracy of artificial neural networks (ANNs) by using genetic algorithms (GA). The sample in this study included 228 patients with first low-trauma hip fracture and 215 patients without hip fracture, both of them were interviewed with 78 questions. We used logistic regression to select 5 important factors (i.e., bone mineral density, experience of fracture, average hand grip strength, intake of coffee, and peak expiratory flow rate) for building artificial neural networks to predict the probabilities of hip fractures. Three-layer (one hidden layer) ANNs models with back-propagation training algorithms were adopted. The purpose in this paper is to find the optimal initial weights of neural networks via genetic algorithm to improve the predictability. Area under the ROC curve (AUC) was used to assess the performance of neural networks. The study results showed the genetic algorithm obtained an AUC of 0.858±0.00493 on modeling data and 0.802 ± 0.03318 on testing data. They were slightly better than the results of our previous study (0.868±0.00387 and 0.796±0.02559, resp.). Thus, the preliminary study for only using simple GA has been proved to be effective for improving the accuracy of artificial neural networks.This research was supported by the National Science Council (NSC) of Taiwan (Grant no. NSC98-2915-I-155-005), the Department of Education grant of Excellent Teaching Program of Yuan Ze University (Grant no. 217517) and the Center for Dynamical Biomarkers and Translational Medicine supported by National Science Council (Grant no. NSC 100- 2911-I-008-001)

Macroeconomics modelling on UK GDP growth by neural computing

This paper presents multilayer neural networks used in UK gross domestic product estimation. These networks are trained by backpropagation and genetic algorithm based methods. Different from backpropagation guided by gradients of the performance, the genetic algorithm directly evaluates the performance of multiple sets of neural networks in parallel and then uses the analysed results to breed new networks that tend to be better suited to the problems in hand. It is shown that this guided evolution leads to globally optimal networks and more accurate results, with less adjustment of the algorithm needed

Incremental construction of LSTM recurrent neural network

Long Short--Term Memory (LSTM) is a recurrent neural network that uses structures called memory blocks to allow the net remember significant events distant in the past input sequence in order to solve long time lag tasks, where other RNN approaches fail. Throughout this work we have performed experiments using LSTM networks extended with growing abilities, which we call GLSTM. Four methods of training growing LSTM has been compared. These methods include cascade and fully connected hidden layers as well as two different levels of freezing previous weights in the cascade case. GLSTM has been applied to a forecasting problem in a biomedical domain, where the input/output behavior of five controllers of the Central Nervous System control has to be modelled. We have compared growing LSTM results against other neural networks approaches, and our work applying conventional LSTM to the task at hand.Postprint (published version