Financial market trend analysis based on autoregressive conditional heteroscedasticity model and BP neural network prediction

2021 ◽  
pp. 002072092098849
Author(s):  
Xinzhe Yin ◽  
Jinghua Li
Keyword(s):  
Neural Network ◽  
Trend Analysis ◽  
Financial Market ◽  
Prediction Method ◽  
Good Effect ◽  
Trend Prediction ◽  
Bp Network ◽  
Conditional Heteroscedasticity ◽  
Bp Model ◽  
Autoregressive Conditional Heteroscedasticity

Many experts and scholars at home and abroad have studied this topic in depth, laying a solid foundation for the research of financial market prediction. At present, the mainstream prediction method is to use neural network and autoregressive conditional heteroscedasticity to build models, which is a more scientific way, and also verified the feasibility of the way in many studies. In order to improve the accuracy of financial market trend prediction, this paper studies in detail the neural network system represented by BP and the autoregressive conditional heterogeneous variance model represented by GARCH. Analyze its structure and algorithm, combine the advantages of both, create a GARCH-BP model, and transform its combination structure and optimize the algorithm according to the uniqueness of the financial market, so as to meet the market as much as possible Characteristics. The novelty of this paper is the construction of the autoregressive conditional heteroscedasticity model, which lays the foundation for the prediction of financial market trends through the construction of the model. However, there are some shortcomings in this article. The overall overview of the financial market is not very clear, and the prediction of the BP network is not so comprehensive. Finally, through the actual data statistics of market transactions, the effectiveness of the GARCH-BP model was tested, analyzed and researched. The final results show that model has a good effect on the prediction and trend analysis of market, and its accuracy and availability greatly improved compared with the previous conventional approach, which is worth further study and extensive research It is believed that the financial market prediction model will become one of the mainstream tools in the industry after its later improvement.

Prediction of Sand Thickness Using Seismic Attributes Based on BP-Neural Network

2012 ◽  
Vol 524-527 ◽  
pp. 180-183
Author(s):  
Feng Gao
Keyword(s):  
Neural Network ◽  
Prediction Model ◽  
Bp Neural Network ◽  
Seismic Attributes ◽  
Bp Network ◽  
Sand Body ◽  
Precise Prediction ◽  
Energy Maximum ◽  
Bp Model ◽  
Rms Amplitude

Total energy, maximum peak amplitude and RMS amplitude are sensitive to sand body, and they are non-linear relations with sand thickness. In this study, a three-layer BP neural network is employed to build the prediction model. Nine samples were analyzed by three-layer BP network. The relationships were produced by BP network between sand thickness and the three seismic attributes. The precise prediction results indicate that the three-layer BP network based modeling is a practically very useful tool in prediction sand thickness. The BP model provided better accuracy in prediction than other methods.

Application of Improved BP Network in Failure Forecasting

2012 ◽  
Vol 490-495 ◽  
pp. 373-377
Author(s):  
Zhi Gang Li ◽  
Bo Wei Shi
Keyword(s):  
Neural Network ◽  
Bp Neural Network ◽  
Predictive Power ◽  
Failure Prediction ◽  
Prediction Method ◽  
Equipment Failure ◽  
Bp Network ◽  
Neural Network Prediction ◽  
Neural Network Algorithm ◽  
Network Prediction

An improved BP neural network prediction method is used for collecting pipe equipment failure prediction and comparing with the improved BP neural network in front, which demonstrates that the improved BP neural network algorithm to the collecting pipe failures has better predictive power.

scholarly journals Wind power short-term power forecasting based on Improved Grey Wolf algorithm and Optimized Generalized Regression Neural Network

2021 ◽  
Vol 2085 (1) ◽  
pp. 012020
Author(s):  
Yiwen Hu ◽  
Yang Gao ◽  
Shuai Yang
Keyword(s):  
Neural Network ◽  
Wind Turbine ◽  
Wind Power ◽  
Prediction Method ◽  
General Regression Neural Network ◽  
Generalized Regression Neural Network ◽  
Gray Wolf ◽  
Power Prediction ◽  
Bp Network ◽  
Generalized Regression

Abstract Aiming at the problem of wind turbine output prediction, a wind power prediction method based on Improved Gray Wolf algorithm and optimized generalized regression neural network is proposed in this paper. Firstly, according to the daily similarity of wind speed and wind power, cluster analysis is used to classify the data. Considering that the degree of each factor affecting wind power output changes, based on the selection of similar days, an improved gray wolf algorithm is introduced to optimize the weight of each influencing factor. The two models of the first mock exam are selected to input the radial single mode function RBF and the back propagation (BP) network to predict the output of the wind turbine separately. The prediction results of the two models are input to the generalized regression neural network optimized by the Wolf Wolf algorithm and the nonlinear combination forecasting is carried out. The basis models are used to predict the output of the wind turbine. The example analysis of an area shows that the model can be closer to the real value in the peak and valley of the prediction curve and has higher prediction accuracy than the combined prediction model of single BP, RBF and non optimized general regression neural network (GRNN).

Oil Saturation Log Prediction Using Neural Network in New Steamflood Area

2020 ◽  
Author(s):  
A. Syahputra
Keyword(s):  
Neural Network ◽  
Water Saturation ◽  
Prediction Method ◽  
Neural Model ◽  
Training Model ◽  
Acquisition Time ◽  
Oil Saturation ◽  
Full Field ◽  
Remaining Oil ◽  
Observation Wells

Surveillance is very important in managing a steamflood project. On the current surveillance plan, Temperature and steam ID logs are acquired on observation wells at least every year while CO log (oil saturation log or SO log) every 3 years. Based on those surveillance logs, a dynamic full field reservoir model is updated quarterly. Typically, a high depletion rate happens in a new steamflood area as a function of drainage activities and steamflood injection. Due to different acquisition time, there is a possibility of misalignment or information gaps between remaining oil maps (ie: net pay, average oil saturation or hydrocarbon pore thickness map) with steam chest map, for example a case of high remaining oil on high steam saturation interval. The methodology that is used to predict oil saturation log is neural network. In this neural network method, open hole observation wells logs (static reservoir log) such as vshale, porosity, water saturation effective, and pay non pay interval), dynamic reservoir logs as temperature, steam saturation, oil saturation, and acquisition time are used as input. A study case of a new steamflood area with 16 patterns of single reservoir target used 6 active observation wells and 15 complete logs sets (temperature, steam ID, and CO log), 19 incomplete logs sets (only temperature and steam ID) since 2014 to 2019. Those data were divided as follows ~80% of completed log set data for neural network training model and ~20% of completed log set data for testing the model. As the result of neural model testing, R2 is score 0.86 with RMS 5% oil saturation. In this testing step, oil saturation log prediction is compared to actual data. Only minor data that shows different oil saturation value and overall shape of oil saturation logs are match. This neural network model is then used for oil saturation log prediction in 19 incomplete log set. The oil saturation log prediction method can fill the gap of data to better describe the depletion process in a new steamflood area. This method also helps to align steam map and remaining oil to support reservoir management in a steamflood project.

scholarly journals Detecting Predictable Segments of Chaotic Financial Time Series via Neural Network

Electronics ◽  
2020 ◽  
Vol 9 (5) ◽  
pp. 823
Author(s):  
Tianle Zhou ◽  
Chaoyi Chu ◽  
Chaobin Xu ◽  
Weihao Liu ◽  
Hao Yu
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Phase Space ◽  
Financial Market ◽  
Financial Time Series ◽  
Influential Factors ◽  
Series Data ◽  
Phase Point ◽  
Price Fluctuations ◽  
Financial Time

In this study, a new idea is proposed to analyze the financial market and detect price fluctuations, by integrating the technology of PSR (phase space reconstruction) and SOM (self organizing maps) neural network algorithms. The prediction of price and index in the financial market has always been a challenging and significant subject in time-series studies, and the prediction accuracy or the sensitivity of timely warning price fluctuations plays an important role in improving returns and avoiding risks for investors. However, it is the high volatility and chaotic dynamics of financial time series that constitute the most significantly influential factors affecting the prediction effect. As a solution, the time series is first projected into a phase space by PSR, and the phase tracks are then sliced into several parts. SOM neural network is used to cluster the phase track parts and extract the linear components in each embedded dimension. After that, LSTM (long short-term memory) is used to test the results of clustering. When there are multiple linear components in the m-dimension phase point, the superposition of these linear components still remains the linear property, and they exhibit order and periodicity in phase space, thereby providing a possibility for time series prediction. In this study, the Dow Jones index, Nikkei index, China growth enterprise market index and Chinese gold price are tested to determine the validity of the model. To summarize, the model has proven itself able to mark the unpredictable time series area and evaluate the unpredictable risk by using 1-dimension time series data.

scholarly journals Rolling Bearing Fault Prediction Method Based on QPSO-BP Neural Network and Dempster–Shafer Evidence Theory

Energies ◽  
2020 ◽  
Vol 13 (5) ◽  
pp. 1094 ◽  
Author(s):  
Lanjun Wan ◽  
Hongyang Li ◽  
Yiwei Chen ◽  
Changyun Li
Keyword(s):  
Neural Network ◽  
Working Conditions ◽  
Bp Neural Network ◽  
Evidence Theory ◽  
Prediction Method ◽  
Rolling Bearing ◽  
Fault Prediction ◽  
Fault Classification ◽  
Bearing Fault ◽  
Hidden Layer

To effectively predict the rolling bearing fault under different working conditions, a rolling bearing fault prediction method based on quantum particle swarm optimization (QPSO) backpropagation (BP) neural network and Dempster–Shafer evidence theory is proposed. First, the original vibration signals of rolling bearing are decomposed by three-layer wavelet packet, and the eigenvectors of different states of rolling bearing are constructed as input data of BP neural network. Second, the optimal number of hidden-layer nodes of BP neural network is automatically found by the dichotomy method to improve the efficiency of selecting the number of hidden-layer nodes. Third, the initial weights and thresholds of BP neural network are optimized by QPSO algorithm, which can improve the convergence speed and classification accuracy of BP neural network. Finally, the fault classification results of multiple QPSO-BP neural networks are fused by Dempster–Shafer evidence theory, and the final rolling bearing fault prediction model is obtained. The experiments demonstrate that different types of rolling bearing fault can be effectively and efficiently predicted under various working conditions.

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