Forecasting Emerging Market Indexes with Neural Networks

2011 ◽  
pp. 80-101 ◽  
Author(s):  
Steven Walczah
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Time Series ◽  
Global Knowledge ◽  
Index Change ◽  
Market Index ◽  
The Neural Network ◽  
Neural Network System ◽  
Homogeneous Models ◽  
Using Data

Forecasting financial time series with neural networks is problematic. Multiple decisions, each of which affects the performance of the neural network forecasting model, must be made, including which data to use and the size and architecture of the neural network system. While most previous research with neural networks has focused on homogenous models, that is, only using data from the single time series to be forecast, the ever more global nature of the world’s financial markets necessitates the inclusion of more global knowledge into neural network design. This chapter demonstrates how specific markets are at least partially dependent on other global markets and that inclusion of heterogeneous market information will improve neural network forecasting performance over similar homogeneous models by as much as 12 percent (i.e., moving from a near 51% prediction accuracy for the direction of the market index change to a 63% accuracy of predicting the direction of the market index change).

scholarly journals ESTIMATION OF THE LYAPUNOV SPECTRUM FROM ONE-DIMENSIONAL OBSERVATIONS USING NEURAL NETWORKS

2014 ◽  
pp. 30-34
Author(s):  
Vladimir Golovko
Keyword(s):  
Neural Network ◽  
Dynamical System ◽  
Neural Networks ◽  
Time Series ◽  
Lyapunov Spectrum ◽  
Network Approach ◽  
Neural Network Approach ◽  
One Dimensional ◽  
The Neural Network ◽  
Attractor Dynamics

This paper discusses the neural network approach for computing of Lyapunov spectrum using one dimensional time series from unknown dynamical system. Such an approach is based on the reconstruction of attractor dynamics and applying of multilayer perceptron (MLP) for forecasting the next state of dynamical system from the previous one. It allows for evaluating the Lyapunov spectrum of unknown dynamical system accurately and efficiently only by using one observation. The results of experiments are discussed.

scholarly journals NEURAL NETWORK FORECASTING OF ENERGY CONSUMPTION OF A METALLURGICAL ENTERPRISE

2021 ◽  
pp. 14-22
Author(s):  
Anna Bakurova ◽  
Olesia Yuskiv ◽  
Dima Shyrokorad ◽  
Anton Riabenko ◽  
Elina Tereschenko
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Time Series ◽  
Artificial Neural Networks ◽  
Energy Consumption ◽  
Short Term ◽  
Metallurgical Enterprise ◽  
Input Information ◽  
The Neural Network ◽  
Artificial Neural

The subject of the research is the methods of constructing and training neural networks as a nonlinear modeling apparatus for solving the problem of predicting the energy consumption of metallurgical enterprises. The purpose of this work is to develop a model for forecasting the consumption of the power system of a metallurgical enterprise and its experimental testing on the data available for research of PJSC "Dneprospetsstal". The following tasks have been solved: analysis of the time series of power consumption; building a model with the help of which data on electricity consumption for a historical period is processed; building the most accurate forecast of the actual amount of electricity for the day ahead; assessment of the forecast quality. Methods used: time series analysis, neural network modeling, short-term forecasting of energy consumption in the metallurgical industry. The results obtained: to develop a model for predicting the energy consumption of a metallurgical enterprise based on artificial neural networks, the MATLAB complex with the Neural Network Toolbox was chosen. When conducting experiments, based on the available statistical data of a metallurgical enterprise, a selection of architectures and algorithms for learning neural networks was carried out. The best results were shown by the feedforward and backpropagation network, architecture with nonlinear autoregressive and learning algorithms: Levenberg-Marquard nonlinear optimization, Bayesian Regularization method and conjugate gradient method. Another approach, deep learning, is also considered, namely the neural network with long short-term memory LSTM and the adam learning algorithm. Such a deep neural network allows you to process large amounts of input information in a short time and build dependencies with uninformative input information. The LSTM network turned out to be the most effective among the considered neural networks, for which the indicator of the maximum prediction error had the minimum value. Conclusions: analysis of forecasting results using the developed models showed that the chosen approach with experimentally selected architectures and learning algorithms meets the necessary requirements for forecast accuracy when developing a forecasting model based on artificial neural networks. The use of models will allow automating high-precision operational hourly forecasting of energy consumption in market conditions. Keywords: energy consumption; forecasting; artificial neural network; time series.

PREDICTION OF CHAOTIC TIME SERIES WITH NEURAL NETWORKS AND THE ISSUE OF DYNAMIC MODELING

1992 ◽  
Vol 02 (04) ◽  
pp. 989-996 ◽  
Author(s):  
JOSE C. PRINCIPE ◽  
ALOK RATHIE ◽  
JYH-MING KUO
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Time Series ◽  
Nonlinear Dynamical Systems ◽  
Learning Rule ◽  
Largest Lyapunov Exponent ◽  
Original Time Series ◽  
The Neural Network ◽  
Dynamical Invariants ◽  
Original Time

This paper deals with the role of neural-network based prediction for the modeling of nonlinear dynamical systems. We show experimentally that the backpropagation learning rule to train neural networks and the prediction error, so widely utilized in teaching and comparing nonlinear predictors, do not consistently indicate that the neural network based model has indeed captured the dynamics of the system that produced the time series. Frequently, but not always, the neural network when used as an autonomous system in a feedback configuration was able to generate a time series that has dynamical invariants similar to the original time series. We show that the estimation of the dynamical invariants (correlation dimension, largest Lyapunov exponent) of the predicted and original time series are an appropriate tool to validate the predictive model.

Time Series Analysis of Slope Displacement Using Neural Network Method

2013 ◽  
Vol 405-408 ◽  
pp. 129-132
Author(s):  
Zhi Qiang Zhang ◽  
Yan Liang Wen ◽  
Guo Jian Zhang ◽  
Lai Shan Chang
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Network Theory ◽  
System Analysis ◽  
Neural Network Approach ◽  
The Neural Network ◽  
Network Method ◽  
Neural Network System ◽  
Neural Network Theory ◽  
Slope Displacement

Based on the artificial neural network theory, a neural network approach is proposed for the analysis of slope displacement time series, the neural network system analysis of slope displacement time series is developed, it is proved that this method is scientific and reasonable.

Study on Neural Networks in Parallel Computing Environments

2012 ◽  
Vol 198-199 ◽  
pp. 707-710
Author(s):  
Yu Hu
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Time Series ◽  
Parallel Computing ◽  
Time Series Forecasting ◽  
Optimal Solutions ◽  
Network Function ◽  
The Neural Network ◽  
Computing Environments ◽  
Function Approximator

Neurons are highly interconnected with each other and are communicating via sending and receiving electrochemical signals, thus composing sophisticated network of interconnected and communicating neurons. This paper discuss the structure of the neural network function approximator and the time series forecasting with neural network, the results could help us to obtain the optimal solutions to higher complexity of the problem.

scholarly journals Neural network time series prediction based on multilayer perceptron

2019 ◽  
Vol 17 (1) ◽  
pp. 23-34 ◽  
Author(s):  
Oleg Rudenko ◽  
Oleksandr Bezsonov ◽  
Oleksandr Romanyk
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Time Series ◽  
Artificial Neural Networks ◽  
Statistical Methods ◽  
Time Series Prediction ◽  
Alternative Methods ◽  
The Neural Network ◽  
Main Technique ◽  
Artificial Neural

Until recently, the statistical approach was the main technique in solving the prediction problem. In the framework of static models, the tasks of forecasting, the identification of hidden periodicity in data, analysis of dependencies, risk assessment in decision making, and others are solved. The general disadvantage of statistical models is the complexity of choosing the type of the model and selecting its parameters. Computing intelligence methods, among which artificial neural networks should be considered at first, can serve as alternative to statistical methods. The ability of the neural network to comprehensively process information follows from their ability to generalize and isolate hidden dependencies between input and output data. Significant advantage of neural networks is that they are capable of learning and generalizing the accumulated knowledge. The article proposes a method of neural networks training in solving the problem of prediction of the time series. Most of the predictive tasks of the time series are characterized by high levels of nonlinearity and non-stationary, noisiness, irregular trends, jumps, abnormal emissions. In these conditions, rigid statistical assumptions about the properties of the time series often limit the possibilities of classical forecasting methods. The alternative methods to statistical methods can be the methods of computational intelligence, which include artificial neural networks. The simulation results confirmed that the proposed method of training the neural network can significantly improve the prediction accuracy of the time series.

scholarly journals A Method for Estimating the Entropy of Time Series Using Artificial Neural Networks

Entropy ◽  
2021 ◽  
Vol 23 (11) ◽  
pp. 1432
Author(s):  
Andrei Velichko ◽  
Hanif Heidari
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Time Series ◽  
Classification Accuracy ◽  
Strong Dependence ◽  
Entropy Measure ◽  
Entropy Estimation ◽  
The Neural Network ◽  
Classification Of Images

Measuring the predictability and complexity of time series using entropy is essential tool designing and controlling a nonlinear system. However, the existing methods have some drawbacks related to the strong dependence of entropy on the parameters of the methods. To overcome these difficulties, this study proposes a new method for estimating the entropy of a time series using the LogNNet neural network model. The LogNNet reservoir matrix is filled with time series elements according to our algorithm. The accuracy of the classification of images from the MNIST-10 database is considered as the entropy measure and denoted by NNetEn. The novelty of entropy calculation is that the time series is involved in mixing the input information in the reservoir. Greater complexity in the time series leads to a higher classification accuracy and higher NNetEn values. We introduce a new time series characteristic called time series learning inertia that determines the learning rate of the neural network. The robustness and efficiency of the method is verified on chaotic, periodic, random, binary, and constant time series. The comparison of NNetEn with other methods of entropy estimation demonstrates that our method is more robust and accurate and can be widely used in practice.

scholarly journals MODELING THE POVERTY LEVEL IN THE RUSSIAN FEDERATION BASED ON A NEURAL NETWORK APPROACH

2021 ◽  
Vol 9 (3) ◽  
pp. 142-156
Author(s):  
M. Karlova ◽  
E. Ryazanceva
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Time Series ◽  
Russian Federation ◽  
Annual Data ◽  
Poverty Level ◽  
Neural Network Approach ◽  
Multiple Sampling ◽  
The Neural Network ◽  
The Russian Federation

The article raises the question of modeling the level of poverty as one of the most important socio-economic indicators. A review of publications by domestic and foreign scientists-economists proves the relevance of the topic chosen for the study. Today, the time series apparatus acts as one of the popular tools for studying the dynamics of the poverty level and the factors that directly influence it, but classical statistical forecasting methods impose rather strict assumptions on the construction of models. The article discusses the possibility of using automated neural networks of the STATISTICA package for analyzing and forecasting a time series composed of annual data reflecting the dynamics of the poverty level in the Russian Federation over the past 20 years. The study took into account the strengths and weaknesses of the use of the neural network apparatus for predicting socio-economic processes. The construction of economic and mathematical models was carried out by building automated neural networks, custom neural networks and the method of multiple sampling. When choosing the most preferable model, a multidimensional criterion was used. The comparison of the real poverty level with the values obtained using the models is made, the quality assessment of the developed models is calculated, the poverty level forecast for 2021-2022 is constructed.

SCORING MODELING BASED ON NEURAL NETWORKS FOR DETERMINING A BANK BORROWER'S RATING

2020 ◽  
Vol 2020 (10) ◽  
pp. 54-62
Author(s):  
Oleksii VASYLIEV ◽  
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Network Architecture ◽  
Statistical Data ◽  
Activation Function ◽  
Decision Making Process ◽  
Neural Network Architecture ◽  
Acceptable Accuracy ◽  
The Neural Network ◽  
Sigmoid Activation Function

The problem of applying neural networks to calculate ratings used in banking in the decision-making process on granting or not granting loans to borrowers is considered. The task is to determine the rating function of the borrower based on a set of statistical data on the effectiveness of loans provided by the bank. When constructing a regression model to calculate the rating function, it is necessary to know its general form. If so, the task is to calculate the parameters that are included in the expression for the rating function. In contrast to this approach, in the case of using neural networks, there is no need to specify the general form for the rating function. Instead, certain neural network architecture is chosen and parameters are calculated for it on the basis of statistical data. Importantly, the same neural network architecture can be used to process different sets of statistical data. The disadvantages of using neural networks include the need to calculate a large number of parameters. There is also no universal algorithm that would determine the optimal neural network architecture. As an example of the use of neural networks to determine the borrower's rating, a model system is considered, in which the borrower's rating is determined by a known non-analytical rating function. A neural network with two inner layers, which contain, respectively, three and two neurons and have a sigmoid activation function, is used for modeling. It is shown that the use of the neural network allows restoring the borrower's rating function with quite acceptable accuracy.

Neural Network Techniques for Time Series Prediction: A Review

2019 ◽  
Vol 3 (3) ◽  
Author(s):  
Muhammad Faheem Mushtaq ◽  
Urooj Akram ◽  
Muhammad Aamir ◽  
Haseeb Ali ◽  
Muhammad Zulqarnain
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Time Series ◽  
Time Series Data ◽  
Weather Prediction ◽  
Time Series Prediction ◽  
Series Data ◽  
Prediction Problem ◽  
Neural Network Models ◽  
Physical Time

It is important to predict a time series because many problems that are related to prediction such as health prediction problem, climate change prediction problem and weather prediction problem include a time component. To solve the time series prediction problem various techniques have been developed over many years to enhance the accuracy of forecasting. This paper presents a review of the prediction of physical time series applications using the neural network models. Neural Networks (NN) have appeared as an effective tool for forecasting of time series.  Moreover, to resolve the problems related to time series data, there is a need of network with single layer trainable weights that is Higher Order Neural Network (HONN) which can perform nonlinearity mapping of input-output. So, the developers are focusing on HONN that has been recently considered to develop the input representation spaces broadly. The HONN model has the ability of functional mapping which determined through some time series problems and it shows the more benefits as compared to conventional Artificial Neural Networks (ANN). The goal of this research is to present the reader awareness about HONN for physical time series prediction, to highlight some benefits and challenges using HONN.

Sign in / Sign up

Export Citation Format

Share Document