Applying Neural Networks for Modeling of Financial Assets

2018 ◽  
pp. 172-204
Author(s):  
Dmitry Averchenko ◽  
Artem Aldyrev
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Standard Deviation ◽  
Learning Process ◽  
Moving Average ◽  
Back Propagation ◽  
Financial Assets ◽  
Movement Index ◽  
Analytical System ◽  
Feedback Neural Networks

The purpose of this chapter is to develop an analytical system for forecasting prices of financial assets with the use of artificial neural networks technology. Proposed by the authors, the analytical system consists of several neural networks, each of which makes the forecast of financial assets prices. The system includes recurrence (with feedback) neural networks with sigmoidal activation formula. This allows the networks to “remember” a sequence of reactions to the same stimulus. The learning process of neural networks is performed using an algorithm of back propagation of error. The key parameters of forecast for this analytical system are the indicators presented by the terminal MetaTrader 4-broker Forex Club: Average Directional и Movement Index; Bollinger Bands; Envelopes; Ichimoku Kinko Hyo; Moving Average; Parabolic SAR; Standard Deviation; Average True Range; and others.

Applying Neural Networks for Modeling of Financial Assets

2022 ◽  
pp. 1381-1413
Author(s):  
Dmitry Averchenko ◽  
Artem Aldyrev
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Standard Deviation ◽  
Learning Process ◽  
Moving Average ◽  
Back Propagation ◽  
Financial Assets ◽  
Movement Index ◽  
Analytical System ◽  
Feedback Neural Networks

The purpose of this chapter is to develop an analytical system for forecasting prices of financial assets with the use of artificial neural networks technology. Proposed by the authors, the analytical system consists of several neural networks, each of which makes the forecast of financial assets prices. The system includes recurrence (with feedback) neural networks with sigmoidal activation formula. This allows the networks to “remember” a sequence of reactions to the same stimulus. The learning process of neural networks is performed using an algorithm of back propagation of error. The key parameters of forecast for this analytical system are the indicators presented by the terminal MetaTrader 4-broker Forex Club: Average Directional и Movement Index; Bollinger Bands; Envelopes; Ichimoku Kinko Hyo; Moving Average; Parabolic SAR; Standard Deviation; Average True Range; and others.

Prediction of Ferrite-Martensite Dual-Phase Steels Mechanical Properties by Use of Artificial Neural Networks

2013 ◽  
Vol 773-774 ◽  
pp. 268-274
Author(s):  
Amir Ghiami ◽  
Ramin Khamedi
Keyword(s):  
Mechanical Properties ◽  
Neural Networks ◽  
Artificial Neural Networks ◽  
Back Propagation ◽  
Total Elongation ◽  
Ultimate Tensile Stress ◽  
Dual Phase ◽  
Dual Phase Steels ◽  
Good Ability ◽  
Artificial Neural

This paper presents an investigation of the capabilities of artificial neural networks (ANN) in predicting some mechanical properties of Ferrite-Martensite dual-phase steels applicable for different industries like auto-making. Using ANNs instead of different destructive and non-destructive tests to determine the material properties, reduces costs and reduces the need for special testing facilities. Networks were trained with use of a back propagation (BP) error algorithm. In order to provide data for training the ANNs, mechanical properties, inter-critical annealing temperature and information about the microstructures of many specimens were examined. After the ANNs were trained, the four parameters of yield stress, ultimate tensile stress, total elongation and the work hardening exponent were simulated. Finally a comparison of the predicted and experimental values indicates that the results obtained from the given input data reveal a good ability of the well-trained ANN to predict the described mechanical properties.

Rainfall Prediction by Artificial Neural Networks Trained using Different Climate Variables

2021 ◽  
Author(s):  
Mateus Alexandre da Silva ◽  
Marina Neves Merlo ◽  
Michael Silveira Thebaldi ◽  
Danton Diego Ferreira ◽  
Felipe Schwerz ◽  
...  
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Input Data ◽  
Back Propagation ◽  
Metropolitan Region ◽  
Climate Variables ◽  
Back Propagation Algorithm ◽  
Rainfall Prediction ◽  
Artificial Neural ◽  
Belo Horizonte

Abstract Predicting rainfall can prevent and mitigate damages caused by its deficit or excess, besides providing necessary tools for adequate planning for the use of water. This research aimed to predict the monthly rainfall, one month in advance, in four municipalities in the metropolitan region of Belo Horizonte, using artificial neural networks (ANN) trained with different climate variables, and to indicate the suitability of such variables as inputs to these models. The models were developed through the MATLAB® software version R2011a, using the NNTOOL toolbox. The ANN’s were trained by the multilayer perceptron architecture and the Feedforward and Back propagation algorithm, using two combinations of input data were used, with 2 and 6 variables, and one combination of input data with 3 of the 6 variables most correlated to observed rainfall from 1970 to 1999, to predict the rainfall from 2000 to 2009. The most correlated variables to the rainfall of the following month are the sequential number corresponding to the month, total rainfall and average compensated temperature, and the best performance was obtained with these variables. Furthermore, it was concluded that the performance of the models was satisfactory; however, they presented limitations for predicting months with high rainfall.

Artificial neural networks back propagation algorithm for cutting force components predictions

2013 ◽  
Vol 14 (6) ◽  
pp. 431-439 ◽  
Author(s):  
Issam Hanafi ◽  
Francisco Mata Cabrera ◽  
Abdellatif Khamlichi ◽  
Ignacio Garrido ◽  
José Tejero Manzanares
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Cutting Force ◽  
Back Propagation ◽  
Back Propagation Algorithm ◽  
Propagation Algorithm ◽  
Cutting Force Components ◽  
Artificial Neural ◽  
Force Components

A Reverse Approach in Optimizing Pass Parameters

2010 ◽  
Vol 113-116 ◽  
pp. 1707-1711
Author(s):  
Jian Hua Hu ◽  
Yuan Hua Shuang
Keyword(s):  
Neural Networks ◽  
Finite Element Method ◽  
Finite Element ◽  
Learning Process ◽  
Back Propagation ◽  
Fem Simulation ◽  
Steel Pipe ◽  
Good Convergence ◽  
Back Propagation Neural Networks ◽  
Element Method

A method combines a back propagation neural networks (BPNN) with the data obtained using finite element method (FEM) is introduced in this paper as an approach to solve reverse problems. This paper presents the feasibility of this approach. FEM results are used to train the BPNN. Inputs of the network are associated with dimension deviation values of the steel pipe, and outputs correspond to its pass parameters. Training of the network ensures low error and good convergence of the learning process. At last, a group of optimal pass parameters are obtained, and reliability and accuracy of the parameters are verified by FEM simulation.

Combining BP with PSO algorithms in weights optimisation and ANNs training for mass appraisal of properties

2018 ◽  
Vol 11 (2) ◽  
pp. 290-314 ◽  
Author(s):  
Joseph Awoamim Yacim ◽  
Douw Gert Brand Boshoff
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Predictive Accuracy ◽  
Back Propagation ◽  
Particle Swarm ◽  
Particle Swarm Optimisation ◽  
Content Type ◽  
Attribute Weights ◽  
Artificial Neural ◽  
And Training

Purpose The paper aims to investigate the application of particle swarm optimisation and back propagation in weights optimisation and training of artificial neural networks within the mass appraisal industry and to compare the performance with standalone back propagation, genetic algorithm with back propagation and regression models. Design/methodology/approach The study utilised linear regression modelling before the semi-log and log-log models with a sample of 3,242 single-family dwellings. This was followed by the hybrid systems in the selection of optimal attribute weights and training of the artificial neural networks. Also, the standalone back propagation algorithm was used for the network training, and finally, the performance of each model was evaluated using accuracy test statistics. Findings The study found that combining particle swarm optimisation with back propagation in global and local search for attribute weights enhances the predictive accuracy of artificial neural networks. This also enhances transparency of the process, because it shows relative importance of attributes. Research limitations/implications A robust assessment of the models’ predictive accuracy was inhibited by fewer accuracy test statistics found in the software. The research demonstrates the efficacy of combining two models in the assessment of property values. Originality/value This work demonstrated the practicability of combining particle swarm optimisation with back propagation algorithms in finding optimal weights and training of the artificial neural networks within the mass appraisal environment.

The Forecasting of Renewable Energy Generation for Turkey by Artificial Neural Networks and a Auto-Regressive Integrated Moving-Average Model -2023 Generation Targets by Renewable Energy Resources

2021 ◽  
Author(s):  
özlem karadag albayrak
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Renewable Energy ◽  
Moving Average ◽  
Renewable Energy Sources ◽  
Energy Generation ◽  
Energy Sources ◽  
Ann Model ◽  
Artificial Neural ◽  
Renewable Energy Generation

Abstract Turkey attaches particular importance to energy generation by renewable energy sources in order to remove negative economic, environmental and social effects caused by fossil resources in energy generation. Renewable energy sources are domestic and do not have any negative effect, such as external dependence in energy and greenhouse gas, caused by fossil resources and which constitute a threat for sustainable economic development. In this respect, the prediction of energy amount to be generated by Renewable Energy (RES) is highly important for Turkey. In this study, a generation forecasting was carried out by Artificial Neural Networks (ANN) and Autoregressive Integrated Moving Average (ARIMA) methods by utilising the renewable energy generation data between 1965-2019. While it was predicted by ANN that 127.516 TWh energy would be generated in 2023, this amount was estimated to be 45.457 TeraWatt Hour (TWh) by ARIMA (1.1.6) model. The Mean Absolute Percentage Error (MAPE) was calculated in order to specify the error margin of the forecasting models. This value was determined to be 13.1% by ANN model and 21.9% by ARIMA model. These results suggested that the ANN model provided a more accurate result. It is considered that the conclusions achieved in this study will be useful in energy planning and management.

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