scholarly journals Approaching Stock Market Trading with Echo State Networks

2020 ◽  
Vol 9 (2) ◽  
Author(s):  
Dev Patel ◽  
Krish Patel ◽  
Charles Dela Cuesta
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Prediction Models ◽  
Time Series Data ◽  
Short Term Memory ◽  
Time Series Prediction ◽  
Modern Society ◽  
Series Data ◽  
Echo State Networks ◽  
The Us

The US stock market is an integral part of modern society. Nearly 55% of Americans  own corporate shares in the US stock market (What Percentage of Americans Own Stock?, 2019), and as of June 30th, 2020, the total value of the US stock market was over 35 trillion USD (Total Market Value of U.S. Stock Market, 2020). The stock market is also extremely volatile, and many people have gone bankrupt from poor investments. To minimize the risk and capitalize off the massive amounts of data on corporations and share prices present in the world, algorithmic trading began to rise. Trading algorithms have the potential for huge returns, and while many algorithms employ strategies like Long-Short Equity, very few attempt to use machine learning due to the unpredictable nature of the stock market. Many time series prediction models like autoregressive integrated moving average (ARIMA), and even neural networks like long short term memory (LSTMs) often fail when predicting stock market data, because unlike other time series data, the stock market is almost never univariate, or follows seasonal trends. However, where other models come short, echo state networks (ESNs) excel, due to their reservoir like computing model, which allows them to perform better on messy, non traditional time series data. Using a combination of ESNs to predict prices, and clustering we created an algorithm model that can predict trends with over 95% confidence, but had mixed results accurately predicting returns.

scholarly journals Prediksi Indeks BEI dengan Ensemble Convolutional Neural Network dan Long Short-Term Memory

2021 ◽  
Vol 5 (3) ◽  
pp. 456-465
Author(s):  
Harya Widiputra ◽  
Adele Mailangkay ◽  
Elliana Gautama
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Time Series Data ◽  
Short Term Memory ◽  
Series Data ◽  
Stock Market Index ◽  
Short Term ◽  
Term Memory ◽  
Market Index ◽  
Long Short Term Memory

The Indonesian Stock Exchange (IDX) stock market index is one of the main indicators commonly used as a reference for national economic conditions. The value of the stock market index is often being used by investment companies and individual investors to help making investment decisions. Therefore, the ability to predict the stock market index value is a critical need. In the fields of statistics and probability theory as well as machine learning, various methods have been developed to predict the value of the stock market index with a good accuracy. However, previous research results have found that no one method is superior to other methods. This study proposes an ensemble model based on deep learning architecture, namely Convolutional Neural Network (CNN) and Long Short-Term Memory (LSTM), called the CNN-LSTM. To be able to predict financial time series data, CNN-LSTM takes feature from CNN for extraction of important features from time series data, which are then integrated with LSTM feature that is reliable in processing time series data. Results of experiments on the proposed CNN-LSTM model confirm that the hybrid model effectively provides better predictive accuracy than the stand-alone time series data forecasting models, such as CNN and LSTM.  

scholarly journals Fuzzy Transfer Learning in Time Series Forecasting for Stock Market Prices

2021 ◽  
Author(s):  
Shanoli Samui Pal ◽  
Samarjit Kar
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Prior Knowledge ◽  
Transfer Learning ◽  
Prediction Accuracy ◽  
Time Series Data ◽  
Time Series Prediction ◽  
Series Data ◽  
Data Sets ◽  
Market Data

Abstract Transfer learning involves transferring prior knowledge of solving similar problems in order to achieve quick and efficient solution. The aim of fuzzy transfer learning is to transfer prior knowledge in an imprecise environment. Time series like stock market data are non-linear in nature and movement of stock is uncertain, so it is quite difficult following the stock market and in decision making. In this study, we propose a method to forecast stock market time series in the situation when we can use prior experience to make decisions. Fuzzy transfer learning (FuzzyTL) is based on knowledge transfer in that and adapting rules obtained domain. Three different stock market time series data sets are used for comparative study. It is observed that the effect of knowledge transferring works well together with smoothing of dependent attributes as the stock market data fluctuate with time. Finally, we give an empirical application in Shenzhen stock market with larger data sets to demonstrate the performance of the model. We have explored FuzzyTL in time series prediction to unerstand the essence of FuzzyTL. We were working on the question of the capability of FuzzyTL in improving prediction accuracy. From the comparisons, it can be said fuzzy transfer learning with smoothing improves prediction accuracy efficiently.

scholarly journals Multivariate Temporal Convolutional Network: A Deep Neural Networks Approach for Multivariate Time Series Forecasting

Electronics ◽  
2019 ◽  
Vol 8 (8) ◽  
pp. 876 ◽  
Author(s):  
Renzhuo Wan ◽  
Shuping Mei ◽  
Jun Wang ◽  
Min Liu ◽  
Fan Yang
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Prediction Accuracy ◽  
Time Series Data ◽  
Short Term Memory ◽  
Time Series Prediction ◽  
Multivariate Time Series ◽  
Series Data ◽  
Asymmetric Structure ◽  
Convolutional Network

Multivariable time series prediction has been widely studied in power energy, aerology, meteorology, finance, transportation, etc. Traditional modeling methods have complex patterns and are inefficient to capture long-term multivariate dependencies of data for desired forecasting accuracy. To address such concerns, various deep learning models based on Recurrent Neural Network (RNN) and Convolutional Neural Network (CNN) methods are proposed. To improve the prediction accuracy and minimize the multivariate time series data dependence for aperiodic data, in this article, Beijing PM2.5 and ISO-NE Dataset are analyzed by a novel Multivariate Temporal Convolution Network (M-TCN) model. In this model, multi-variable time series prediction is constructed as a sequence-to-sequence scenario for non-periodic datasets. The multichannel residual blocks in parallel with asymmetric structure based on deep convolution neural network is proposed. The results are compared with rich competitive algorithms of long short term memory (LSTM), convolutional LSTM (ConvLSTM), Temporal Convolution Network (TCN) and Multivariate Attention LSTM-FCN (MALSTM-FCN), which indicate significant improvement of prediction accuracy, robust and generalization of our model.

scholarly journals Different Techniques used in Stock Market Prediction

2020 ◽  
Vol 9 (5) ◽  
pp. 60-62
Keyword(s):  
Machine Learning ◽  
Time Series ◽  
Stock Market ◽  
Time Series Data ◽  
Short Term Memory ◽  
Moving Average ◽  
Machine Learning Algorithms ◽  
Machine Learning Techniques ◽  
Series Data ◽  
Autoregressive Integrated Moving Average

The stock market has been one of the primary revenue streams for many for years. The stock market is often incalculable and uncertain; therefore predicting the ups and downs of the stock market is an uphill task even for the financial experts, which they been trying to tackle without any little success. But it is now possible to predict stock markets due to rapid improvement in technology which led to better processing speed and more accurate algorithms. It is necessary to forswear the misconception that prediction of stock market is only meant for people who have expertise in finance; hence an application can be developed to guide the user about the tempo of the stock market and risk associated with it.The prediction of prices in stock market is a complicated task, and there are various techniques that are used to solve the problem, this paper investigates some of these techniques and compares the accuracy of each of the methods. Forecasting the time series data is important topic in many economics, statistics, finance and business. Of the many techniques in forecasting time series data such as the Autoregressive, Moving Average, and the Autoregressive Integrated Moving Average, it is the Autoregressive Integrated Moving Average that has higher accuracy and higher precision than other methods. And with recent advancement in computational power of processors and advancement in knowledge of machine learning techniques and deep learning, new algorithms could be made to tackle the problem of predicting the stock market. This paper investigates one of such machine learning algorithms to forecast time series data such as Long Short Term Memory. It is compared with traditional algorithms such as the ARIMA method, to determine how superior the LSTM is compared to the traditional methods for predicting the stock market.

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.

scholarly journals Time–frequency time–space LSTM for robust classification of physiological signals

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Tuan D. Pham
Keyword(s):  
Time Series ◽  
Network Architecture ◽  
Time Series Data ◽  
Short Term Memory ◽  
Physiological Signals ◽  
Series Data ◽  
Time Frequency ◽  
Time Space ◽  
Deep Recurrent Neural Network

AbstractAutomated analysis of physiological time series is utilized for many clinical applications in medicine and life sciences. Long short-term memory (LSTM) is a deep recurrent neural network architecture used for classification of time-series data. Here time–frequency and time–space properties of time series are introduced as a robust tool for LSTM processing of long sequential data in physiology. Based on classification results obtained from two databases of sensor-induced physiological signals, the proposed approach has the potential for (1) achieving very high classification accuracy, (2) saving tremendous time for data learning, and (3) being cost-effective and user-comfortable for clinical trials by reducing multiple wearable sensors for data recording.

scholarly journals ANALISIS KORELASI CURAH HUJAN DAN SUHU PERMUKAAN LAUT WILAYAH INDONESIA, SERTA IMPLIKASINYA UNTUK PRAKIRAAN CURAH HUJAN (STUDI KASUS KABUPATEN CILACAP) (CORRELATION ANALYSIS OF RAINFALL AND INDONESIA SEA SURFACE TEMPERATURE, AND ITS ...

Agromet ◽  
2007 ◽  
Vol 21 (2) ◽  
pp. 46 ◽  
Author(s):  
W. Estiningtyas ◽  
F. Ramadhani ◽  
E. Aldrian
Keyword(s):  
Time Series ◽  
Surface Temperature ◽  
Sea Surface Temperature ◽  
Negative Correlation ◽  
Prediction Models ◽  
Time Series Data ◽  
Sea Surface ◽  
Rainfall Pattern ◽  
Series Data ◽  
Rainfall Prediction

<p>Significant decrease in rainfall caused extreme climate has significant impact on agriculture sector, especialy food crops production. It is one of reason and push developing of rainfall prediction models as anticipate from extreme climate events. Rainfall prediction models develop base on time series data, and then it has been included anomaly aspect, like rainfall prediction model with Kalman filtering method. One of global parameter that has been used as climate anomaly indicator is sea surface temperature. Some of research indicate, there are relationship between sea surface temperature and rainfall. Relationship between Indonesian rainfall and global sea surface temperature has been known, but its relationship with Indonesian’s sea surface temperature not know yet, especialy for rainfall in smaller area like district. So, therefore the research about relationship between rainfall in distric area and Indonesian’s sea surface temperature and it application for rainfall prediction is needed. Based on Indonesian’s sea surface temperature time series data Januari 1982 until Mei 2006 show there are zona of Indonesian’s sea surface temperature (with temperature more than 27,6 0C) dominan in Januari-Mei and moved with specific pattern. Highest value of spasial correlation beetwen Cilacap’s rainfall and Indonesian’s sea surface temperature is 0,30 until 0,50 with different zona of Indonesian’s sea surface temperature. Highest positive correlation happened in March and July. Negative correlation is -0,30 until -0,70 with highest negative correlation in May and June. Model validation resulted correlation coeffcient 85,73%, fits model 20,74%, r2 73,49%, RMSE 20,5% and standart deviation 37,96. Rainfall prediction Januari-Desember 2007 period indicated rainfall pattern is near same with average rainfall pattern, rainfall less than 100/month. The result of this research indicate Indonesian’s sea surface temperature can be used as indicator rainfall condition in distric area, that means rainfall in district area can be predicted based on Indonesian’s sea surface temperature in zona with highest correlation in every month.</p><p>------------------------------------------------------------------</p><p>Penurunan curah hujan yang cukup signifikan akibat iklim ekstrim telah membawa dampak yang cukup signifikan pula pada sektor pertanian, terutama produksi tanaman pangan. Hal ini menjadi salah satu alasan yang mendorong semakin berkembangnya model-model prakiraan hujan sebagai upaya antipasi terhadap kejadian iklim ekstrim. Model prakiraan hujan yang pada awalnya hanya berbasis pada data time series, kini telah berkembang dengan memperhitungkan aspek anomali iklim, seperti model prakiraan hujan dengan metode filter Kalman. Salah satu indikator global yang dapat digunakan sebagai indikator anomali iklim adalah suhu permukaan laut. Dari berbagai hasil penelitian diketahui bahwa suhu permukaan laut ini memiliki keterkaitan dengan kejadian curah hujan. Hubungan curah hujan Indonesia dengan suhu permukaan laut global sudah banyak diketahui, tetapi keterkaitannya dengan suhu permukaan laut wilayah Indonesia belum banyak mendapat perhatian, terutama untuk curah hujan pada cakupan yang lebih sempit seperti kabupaten. Oleh karena itu perlu dilakukan penelitian yang mengkaji hubungan kedua parameter tersebut serta mengaplikasikannya untuk prakiraan curah hujan pada wilayah Kabupaten. Hasil penelitian berdasarkan data suhu permukaan laut wilayah Indonesia rata-rata Januari 1982 hingga Mei 2006 menunjukkan zona dengan suhu lebih dari 27,6 0C yang dominan pada bulan Januari-Mei dan bergerak dengan pola yang cukup jelas. Korelasi spasial antara curah hujan kabupaten Cilacap dengan SPL wilayah Indonesia rata-rata bulan Januari-Desember menunjukkan korelasi positip tertinggi antara 0,30 hingga 0,50 dengan zona SPL yang beragam. Korelasi tertinggi terjadi pada bulan Maret dan Juli. Sedangkan korelasi negatip berkisar antara -0,30 hingga -0,70 dengan korelasi negatip tertinggi pada bulan Mei dan Juni. Validasi model prakiraan hujan menghasilkan nilai koefisien korelasi 85,73%, fits model 20,74%, r2 sebesar 73,49%, RMSE 20,5% dan standar deviasi 37,96. Hasil prakiraan hujan bulanan periode Januari-Desember 2007 mengindikasikan pola curah hujan yang tidak jauh berbeda dengan rata-rata selama 19 tahun (1988-2006) dengan jeluk hujan kurang dari 100 mm/bulan. Hasil penelitian mengindikasikan bahwa SPL wilayah Indonesia dapat digunakan sebagai indikator untuk menunjukkan kondisi curah hujan di suatu wilayah (kabupaten), artinya curah hujan dapat diprediksi berdasarkan perubahan SPL pada zona-zona dengan korelasi yang tertinggi pada setiap bulannya.</p>

scholarly journals Research on maintenance spare parts requirement prediction based on LSTM recurrent neural network

Open Physics ◽  
2021 ◽  
Vol 19 (1) ◽  
pp. 618-627
Author(s):  
Weixing Song ◽  
Jingjing Wu ◽  
Jianshe Kang ◽  
Jun Zhang
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Recurrent Neural Network ◽  
Time Series Data ◽  
Short Term Memory ◽  
Spare Parts ◽  
Performance Comparison ◽  
Series Data ◽  
Generalized Regression Neural Network ◽  
Particle Swarm Algorithm

Abstract The aim of this study was to improve the low accuracy of equipment spare parts requirement predicting, which affects the quality and efficiency of maintenance support, based on the summary and analysis of the existing spare parts requirement predicting research. This article introduces the current latest popular long short-term memory (LSTM) algorithm which has the best effect on time series data processing to equipment spare parts requirement predicting, according to the time series characteristics of spare parts consumption data. A method for predicting the requirement for maintenance spare parts based on the LSTM recurrent neural network is proposed, and the network structure is designed in detail, the realization of network training and network prediction is given. The advantages of particle swarm algorithm are introduced to optimize the network parameters, and actual data of three types of equipment spare parts consumption are used for experiments. The performance comparison of predictive models such as BP neural network, generalized regression neural network, wavelet neural network, and squeeze-and-excitation network prove that the new method is effective and provides an effective method for scientifically predicting the requirement for maintenance spare parts and improving the quality of equipment maintenance.

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