Neural Networks - page 22

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Financial forecasting is a difficult task due to the intrinsic complexity of the financial system. A simplified approach in forecasting is given by "black box" methods like neural networks that assume little about the structure of the economy. In the present paper we relate our experience using neural nets as financial time series forecast method. In particular we show that a neural net able to forecast the sign of the price increments with a success rate slightly above 50% can be found. Target series are the daily closing price of different assets and indexes during the period from about January 1990 to February 2000.
 
We propose a new methodfor predicting movements in Forex market based on NARX neural network withtime shifting bagging techniqueand financial indicators, such as relative strength index and stochastic indicators. Neural networks have prominent learning ability but they often exhibit bad and unpredictable performance for noisy data. When compared with the static neural networks, our method significantly reducesthe error rate of the responseandimproves the performance of the prediction. We tested three different types ofarchitecture for predicting the response and determined the best network approach. We applied our method to prediction the hourly foreign exchange rates and found remarkable predictability in comprehensive experiments with 2 different foreign exchange rates (GBPUSD and EURUSD).

 
 
Despite having high accuracy, neural nets have been shown to be susceptible to adversarial examples, where a small perturbation to an input can cause it to become mislabeled. We propose metrics for measuring the robustness of a neural net and devise a novel algorithm for approximating these metrics based on an encoding of robustness as a linear program. We show how our metrics can be used to evaluate the robustness of deep neural nets with experiments on the MNIST and CIFAR-10 datasets. Our algorithm generates more informative estimates of robustness metrics compared to estimates based on existing algorithms. Furthermore, we show how existing approaches to improving robustness "overfit" to adversarial examples generated using a specific algorithm. Finally, we show that our techniques can be used to additionally improve neural net robustness both according to the metrics that we propose, but also according to previously proposed metrics.
 
seekers_:
Interesting. Thanks :)
 

Effectiveness of firefly algorithm based neural network in time series forecasting

 

The Foreign Exchange Market is the biggest and one of the most liquid markets in the world. This market has always been one of the most challenging markets as far as short term prediction is concerned. Due to the chaotic, noisy, and non-stationary nature of the data, the majority of the research has been focused on daily, weekly, or even monthly prediction. The literature review revealed that there is a gap for intra-day market prediction. Identifying this gap, this paper introduces a prediction and decision making model based on Artificial Neural Networks (ANN) and Genetic Algorithms. The dataset utilized for this research comprises of 70 weeks of past currency rates of the 3 most traded currency pairs: GBP\USD, EUR\GBP, and EUR\USD. The initial statistical tests confirmed with a significance of more than 95% that the daily FOREX currency rates time series are not randomly distributed. Another important result is that the proposed model achieved 72.5% prediction accuracy. Furthermore, implementing the optimal trading strategy, this model produced 23.3% Annualized Net Return.



 

In this paper we investigate and design the neural networks model for FOREX prediction based on the historical data movement of USD/EUR exchange rates. Unlike many other techniques of technical analysis which are based on price trends analysis, neural networks offer autocorrelation analysis and the estimation of possible errors in forecasting. This theory is consistent with the semi-strong form of the efficient markets hypothesis. The empirical data used in the model of neural networks are related to the exchange rate USD/EUR in the period 23.04.2012–04.05.2012. The results shows that the model can be used for FOREX prediction.


 

Neural networks are known to be effective function approximators. Recently, deep neural networks have proven to be very effective in pattern recognition, classification tasks and human-level control to model highly nonlinear realworld systems. This paper investigates the effectiveness of deep neural networks in the modeling of dynamical systems with complex behavior. Three deep neural network structures are trained on sequential data, and we investigate the effectiveness of these networks in modeling associated characteristics of the underlying dynamical systems. We carry out similar evaluations on select publicly available system identification datasets. We demonstrate that deep neural networks are effective model estimators from input-output data


 

This study presents a novel application and comparison of higher order neural networks (HONNs) to forecast benchmark chaotic time series. Two models of HONNs were implemented, namely functional link neural network (FLNN) and pi-sigma neural network (PSNN). These models were tested on two benchmark time series; the monthly smoothed sunspot numbers and the Mackey-Glass time-delay differential equation time series. The forecasting performance of the HONNs is compared against the performance of different models previously used in the literature such as fuzzy and neural networks models. Simulation results showed that FLNN and PSNN offer good performance compared to many previously used hybrid models.


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