Forecasting of financial data: a novel fuzzy logic neural network based on error-correction concept and statistics

First, this paper investigates the effect of good and bad news on volatility in the BUX return time series using asymmetric ARCH models. Then, the accuracy of forecasting models based on statistical (stochastic), machine learning methods, and soft/granular RBF network is investigated. To forecast the high-frequency financial data, we apply statistical ARMA and asymmetric GARCH-class models. A novel RBF network architecture is proposed based on incorporation of an error-correction mechanism, which improves forecasting ability of feed-forward neural networks. These proposed modelling approaches and SVM models are applied to predict the high-frequency time series of the BUX stock index. We found that it is possible to enhance forecast accuracy and achieve significant risk reduction in managerial decision making by applying intelligent forecasting models based on latest information technologies. On the other hand, we showed that statistical GARCH-class models can identify the presence of leverage effects, and react to the good and bad news.Web of Science421049

The category proliferation problem in ART neural networks

This article describes the design of a new model IKMART, for classification of documents and their incorporation into categories based on the KMART architecture. The architecture consists of two networks that mutually cooperate through the interconnection of weights and the output matrix of the coded documents. The architecture retains required network features such as incremental learning without the need of descriptive and input/output fuzzy data, learning acceleration and classification of documents and a minimal number of user-defined parameters. The conducted experiments with real documents showed a more precise categorization of documents and higher classification performance in comparison to the classic KMART algorithm.Web of Science145634

Determination of fuzzy relations for economic fuzzy time series models by neural networks

Based on the works /11, 22, 27/ a fuzzy time series model is proposed and applied to predict chaotic financial process. Thwe general methodological framework of classical and fuzzy modelling of economic time series is considered. A complete fuzzy time series modellling approach is proposed which includes: determining and developing of fuzzy time series models, developing and calculating of fuzzy relations among the observations, calculating and interpreting the outputs. To generate fuzzy rules from data, the neural network with SCL-based product-space clustering is used

Financial time series modelling with hybrid model based on customized RBF neural network combined with genetic algorithm

In this paper, authors apply feed-forward artificial neural network (ANN) of RBF type into the process of modelling and forecasting the future value of USD/CAD time series. Authors test the customized version of the RBF and add the evolutionary approach into it. They also combine the standard algorithm for adapting weights in neural network with an unsupervised clustering algorithm called K-means. Finally, authors suggest the new hybrid model as a combination of a standard ANN and a moving average for error modeling that is used to enhance the outputs of the network using the error part of the original RBF. Using high-frequency data, they examine the ability to forecast exchange rate values for the horizon of one day. To determine the forecasting efficiency, authors perform the comparative out-of-sample analysis of the suggested hybrid model with statistical models and the standard neural network

Modelovanie volatility a predikčné modely vysokofrekvenčných finančných dát: štatistický a neurónový prístup

Web of Science62214913

Some statistical and CI models to predict chaotic high-frequency financial data

To forecast time series data, two methodological frameworks of statistical and computational intelligence modelling are considered. The statistical methodological approach is based on the theory of invertible ARIMA (Auto-Regressive Integrated Moving Average) models with Maximum Likelihood (ML) estimating method. As a competitive tool to statistical forecasting models, we use the popular classic neural network (NN) of perceptron type. To train NN, the Back-Propagation (BP) algorithm and heuristics like genetic and micro-genetic algorithm (GA and MGA) are implemented on the large data set. A comparative analysis of selected learning methods is performed and evaluated. From performed experiments we find that the optimal population size will likely be 20 with the lowest training time from all NN trained by the evolutionary algorithms, while the prediction accuracy level is lesser, but still acceptable by managers.Web of Science3956430641

FUZZY TIME SERIES MODELLING BY SCL LEARNING

Based on the works [11], [22] a fuzzy time series model is proposed and applied to predict chaotic financial process. The general methodological framework of classical and fuzzy modelling of economic time series is considered. A complete fuzzy time series modelling approach is proposed. To generate fuzzy rules from data, the neural network with Supervised Competitive Learning (SCL)-based product-space clustering is used.

Stock Price Predictors Based on Bayesian Method

Many stock Price Predictors transformating input (historical data, theory) to output (forecast) have been publishing. For example papers [1], [2] deal with ARMA and exponential smoothing methods. Proposed contribution present an approach based on Bayesian method. Bayesian method, applied to stock price forecast, enables to predict stock prices when much historical data are unavailable or where the users of such information processing systems might not be able to accumulate them. This article shows basic approach to Bayesian estimation of constant process and demonstrates its methodology. Finally, we present example illustrating the application of this approach.