A comparison between Fama and French's model and artificial neural networks in predicting the Chinese stock market

Evidence exists that emerging market stock returns are influenced by a different set of factors than those that influence the returns for stocks traded in developed countries. This study uses artificial neural networks to predict stock price movement (i.e., price returns) for firms traded on the Shanghai stock exchange. We compare the predictive power using linear models from financial forecasting literature to the predictive power of the univariate and multivariate neural network models. Our results show that neural networks outperform the linear models compared. These results are statistically significant across our sample firms, and indicate neural networks are a useful tool for stock price prediction in emerging markets, like China.     

Intelligent stock trading system with price trend prediction and reversal recognition using dual-module neural networks

This article presents an intelligent stock trading system that can generate timely stock trading suggestions according to the prediction of short-term trends of price movement using dual-module neural networks(dual net). Retrospective technical indicators extracted from raw price and volume time series data gathered from the market are used as independent variables for neural modeling. Both neural network modules of thedual net learn the correlation between the trends of price movement and the retrospective technical indicators by use of a modified back-propagation learning algorithm. Reinforcing the temporary correlation between the neural weights and the training patterns, dual modules of neural networks are respectively trained on a short-term and a long-term moving-window of training patterns. An adaptive reversal recognition mechanism that can self-tune thresholds for identification of the timing for buying or selling stocks has also been developed in our system. It is shown that the proposeddual net architecture generalizes better than one single-module neural network. According to the features of acceptable rate of returns and consistent quality of trading suggestions shown in the performance evaluation, an intelligent stock trading system with price trend prediction and reversal recognition can be realized using the proposed dual-module neural networks.     

Integration of genetic fuzzy systems and artificial neural networks for stock price forecasting

Stock market prediction is regarded as a challenging task in financial time-series forecasting. The central idea to successful stock market prediction is achieving best results using minimum required input data and the least complex stock market model. To achieve these purposes this article presents an integrated approach based on genetic fuzzy systems (GFS) and artificial neural networks (ANN) for constructing a stock price forecasting expert system. At first, we use stepwise regression analysis (SRA) to determine factors which have most influence on stock prices. At the next stage we divide our raw data into k clusters by means of self-organizing map (SOM) neural networks. Finally, all clusters will be fed into independent GFS models with the ability of rule base extraction and data base tuning. We evaluate capability of the proposed approach by applying it on stock price data gathered from IT and Airlines sectors, and compare the outcomes with previous stock price forecasting methods using mean absolute percentage error (MAPE). Results show that the proposed approach outperforms all previous methods, so it can be considered as a suitable tool for stock price forecasting problems.     

粗糙集和神经网络方法在数据挖掘中的应用

提出了一种基于神经网络和粗集的数据挖掘新方法。首先利用粗集理论对原始数据进行一致性属性约简,然后使用神经网络对数据进行学习,并同时完成属性的不一致约简,最后再由粗集对神经网络中的知识进行规则抽取。该方法充分融合了粗集理论强大的属性约简、规则生成能力和神经网络优良的分类、容错能力。实验表明,该方法快速有效,生成规则简单准确,具有良好的鲁棒性。     

基于DMD-LSTM模型的股票价格时间序列预测研究

针对股票市场关系复杂导致的有效特征提取困难、价格预测精度低等问题,提出一种基于动态模态分解—长短期记忆神经网络（DMD-LSTM）的股票价格时间序列预测方法。首先通过DMD算法对受市场板块联动效应影响的关联行业板块样本股数据进行分解计算,提取包含整体市场和特定股票走势变化信息的模态特征;然后针对不同市场背景,采用LSTM网络对基本面数据和模态特征进行价格建模预测。在鞍钢股份（SH000898）上的实验结果表明,该方法相较于传统预测方法,在特定的市场背景下能实现更高的价格预测精度,更为准确地描述股票价格的变化规律。     

Stock Trading Using RSPOP: A Novel Rough Set-Based Neuro-Fuzzy Approach

This paper investigates the method of forecasting stock price difference on artificially generated price series data using neuro-fuzzy systems and neural networks. As trading profits is more important to an investor than statistical performance, this paper proposes a novel rough set-based neuro-fuzzy stock trading decision model called stock trading using rough set-based pseudo outer-product (RSPOP) which synergizes the price difference forecast method with a forecast bottleneck free trading decision model. The proposed stock trading with forecast model uses the pseudo outer-product based fuzzy neural network using the compositional rule of inference [POPFNN-CRI(S)] with fuzzy rules identified using the RSPOP algorithm as the underlying predictor model and simple moving average trading rules in the stock trading decision model. Experimental results using the proposed stock trading with RSPOP forecast model on real world stock market data are presented. Trading profits in terms of portfolio end values obtained are benchmarked against stock trading with dynamic evolving neural-fuzzy inference system (DENFIS) forecast model, the stock trading without forecast model and the stock trading with ideal forecast model. Experimental results showed that the proposed model identified rules with greater interpretability and yielded significantly higher profits than the stock trading with DENFIS forecast model and the stock trading without forecast model.     

Are artificial neural networks white boxes?

In this paper, we introduce a novel Mamdani-type fuzzy model, referred to as the all-permutations fuzzy rule base (APFRB), and show that it is mathematically equivalent to a standard feedforward neural network. We describe several applications of this equivalence between a neural network and our fuzzy rule base (FRB), including knowledge extraction from and knowledge insertion into neural networks.     

基于粗糙集和神经网络理论的规则提取算法

提出了一种基于粗糙集和神经网络组合进行规则提取的方法。首先对初始数据集进行离散化,并利用粗糙集对决策表中的条件属性进行初步约简,然后利用神经网络对数据进行学习和预测,并通过删除网络不能分类的数据来对决策表中的噪声进行过滤,最后再由粗糙集值约简算法进行规则提取。实验表明,该方法相对于传统规则提取算法快速有效,在保留神经网络高鲁棒性的同时,避免了从神经网络中提取规则的困难。     

Deep learning networks for stock market analysis and prediction: Methodology,data representations,and case studies

We offer a systematic analysis of the use of deep learning networks for stock market analysis and prediction. Its ability to extract features from a large set of raw data without relying on prior knowledge of predictors makes deep learning potentially attractive for stock market prediction at high frequencies. Deep learning algorithms vary considerably in the choice of network structure, activation function, and other model parameters, and their performance is known to depend heavily on the method of data representation. Our study attempts to provides a comprehensive and objective assessment of both the advantages and drawbacks of deep learning algorithms for stock market analysis and prediction. Using high-frequency intraday stock returns as input data, we examine the effects of three unsupervised feature extraction methods—principal component analysis, autoencoder, and the restricted Boltzmann machine—on the network’s overall ability to predict future market behavior. Empirical results suggest that deep neural networks can extract additional information from the residuals of the autoregressive model and improve prediction performance; the same cannot be said when the autoregressive model is applied to the residuals of the network. Covariance estimation is also noticeably improved when the predictive network is applied to covariance-based market structure analysis. Our study offers practical insights and potentially useful directions for further investigation into how deep learning networks can be effectively used for stock market analysis and prediction.     

A machine learning method for extracting symbolic knowledge from recurrent neural networks

Neural networks do not readily provide an explanation of the knowledge stored in their weights as part of their information processing. Until recently, neural networks were considered to be black boxes, with the knowledge stored in their weights not readily accessible. Since then, research has resulted in a number of algorithms for extracting knowledge in symbolic form from trained neural networks. This article addresses the extraction of knowledge in symbolic form from recurrent neural networks trained to behave like deterministic finite-state automata (DFAs). To date, methods used to extract knowledge from such networks have relied on the hypothesis that networks' states tend to cluster and that clusters of network states correspond to DFA states. The computational complexity of such a cluster analysis has led to heuristics that either limit the number of clusters that may form during training or limit the exploration of the space of hidden recurrent state neurons. These limitations, while necessary, may lead to decreased fidelity, in which the extracted knowledge may not model the true behavior of a trained network, perhaps not even for the training set. The method proposed here uses a polynomial time, symbolic learning algorithm to infer DFAs solely from the observation of a trained network's input-output behavior. Thus, this method has the potential to increase the fidelity of the extracted knowledge.     

Predicting stock market returns from malicious attacks: A comparative analysis of vector autoregression and time-delayed neural networks

With the growing importance of Internet-based businesses, malicious code attacks on information technology infrastructures have been on the rise. Prior studies have indicated that these malicious attacks are associated with detrimental economic effects on the attacked firms. On the other hand, we conjecture that more intense malicious attacks boost the stock price of information security firms. Furthermore, we use artificial neural networks and vector autoregression analyses as complementary methods to study the relationship between the stock market returns of information security firms and the intensity of malicious attacks, computed as the product of the number of malicious attacks and their severity levels. A major contribution of this work is the resulting time-delayed artificial neural network model that allows stock return predictions and is particularly useful as an investment decision support system for hedge funds and other investors, whose portfolios are at risk of losing market value during malicious attacks.     

PCC-BiLSTM-GRU-Attention组合模型预测方法

传统预测模型在处理多元时间序列时, 常常难以捕捉其非线性动力系统的复杂变化规律导致预测精度较低. 针对此问题, 本文将PCC-BiLSTM-GRU-Attention组合模型的预测方法进行了探讨和验证. 该方法首先使用Pearson相关系数(PCC)进行相关性检验并删除无关特征, 实现了对多元数据的降维选优. 其次使用双向长短期记忆神经网络(BiLSTM)双向提取时序特征. 最后使用GRU神经网络融合注意力机制(Attention), 进一步学习双向时序特征的变化规律, 精准捕捉关键时刻的信息. 为了验证该方法在多元时间序列中的可行性, 本文以股票价格预测作为实验场景, 并与BP模型、LSTM模型、GRU模型、BiLSTM-GRU模型、BiLSTM-GRU-Attention模型进行对比. 验证结果表明: 本文探讨的PCC-BiLSTM-GRU-Attention组合模型的预测方法相比其他模型具有较高的预测精度, 其平均绝对百分比误差(MAPE)达到了2.484%, 决定系数达到了0.966.     

基于离群特征模式的股市波动预测模型

由于股票价格波动具有较强的突变性且易受外界因素影响,导致股票价格走势难以预测。提出基于离群特征模式的股市波动预测模型（SFSVM）。该算法首先利用马尔可夫毯选取目标结点的局部网络结构,以屏蔽其他结点对目标结点的影响;对目标结点的指标进行分析,提取异于一般行为的离群特征模式;利用滑动窗口捕捉离群特征,将离群特征模式作为先验知识加入原SVM模型,预测尖峰点并平滑尖峰点对于预测结果的影响,提高预测模型的稳健性。在股票板块数据上进行实验结果证明,SFSVM算法相对于神经网络和标准的SVM算法,在股票的走势预测方面有更好的预测效果。     

基于文档结构与深度学习的金融公告信息抽取

针对金融类公告中的结构化数据难以被高效快速提取的问题,提出一种基于文档结构与Bi-LSTM-CRF网络模型的信息抽取方法。自定义一种文档结构树生成算法,利用规则从文档结构树中抽取所需节点信息;构建基于信息句触发词的局部句子规则,抽取包含结构化字段信息的信息句;将字段的结构化信息抽取看作序列标注问题,分词时加入领域知识词典,构建基于Bi-LSTM-CRF的神经网络模型进行字段信息识别。实验结果表明,该信息抽取方法可以满足多类型公告的结构化信息提取,最终的信息句与字段信息抽取的平均F1值均可达到91%以上,验证了该方法在产品业务中的可行性和实用性。     

Optimization of cluster-based evolutionary undersampling for the artificial neural networks in corporate bankruptcy prediction

We suggest an optimization approach of cluster-based undersampling to select appropriate instances. This approach can solve the data imbalance problem, which can lead to knowledge extraction for improving the performance of existing data mining techniques. Although data mining techniques among various big data analytics technologies have been successfully applied and proven in terms of classification performance in various domains, such as marketing, accounting and finance areas, the data imbalance problem has been regarded as one of the most important issues to be considered.We examined the effectiveness of a hybrid method using a clustering technique and genetic algorithms based on the artificial neural networks model to balance the proportion between the minority class and majority class. The objective of this paper is to constitute the best suitable training dataset for both decreasing data imbalance and improving the classification accuracy. We extracted the properly balanced dataset composed of optimal or near-optimal instances for the artificial neural networks model. The main contribution of the proposed method is that we extract explorative knowledge based on recognition of the data structure and categorize instances through the clustering technique while performing simultaneous optimization for the artificial neural networks modeling. In addition, we can easily understand why the instances are selected by the rule-format knowledge representation increasing the expressive power of the criteria of selecting instances. The proposed method is successfully applied to the bankruptcy prediction problem using financial data for which the proportion of small- and medium-sized bankruptcy firms in the manufacturing industry is extremely small compared to that of non-bankruptcy firms.     

基于PCA和IFOA-BP神经网络的股价预测模型

针对基于BP神经网络的股票价格预测模型在价格预测时存在较大误差的问题,在BP神经网络方法的基础上引入了主成分分析方法(PCA)和改进的果蝇算法(IFOA),提出一种基于PCA-IFOA-BP神经网络的股票价格预测模型。通过PCA对股票历史数据进行降维,减少冗余信息;采用改进的果蝇算法优化BP神经网络的初始权值和阈值;建立基于PCA和IFOA-BP神经网络的股票价格预测模型。对上证指数股票价格数据进行仿真验证,仿真结果表明:在股票价格预测中,该模型比BP神经网络、PCA-BP和PCA-FOA-BP的预测精度更高,是一种有效可行的预测方法。     

混沌理论在股票价格预测中的应用

针对股票时间序列的非线性特点,结合混沌理论和神经网络理论,提出了基于混沌理论的股票价格神经网络预测方法。同时利用重构相空间的嵌人维数确定神经网络的结构,对实际的股票时间序列预测结果表明,该方法能有效地进行短期预测,在股票时问序列预测中有广泛的实用价值。     

基于正则前馈神经网络的股票时间序列数据库的知识发现

将正则最小二乘前馈网络学习算法应用干时间序列的知识发现。正则最小二乘算法将正则化网络和节点删除算法结合起来，大大提高了前馈网络的泛化性能。将其应用于股票时间序列数据库的暂态规则的知识发现．发现过程包括时间序列数据库预处理和数据挖掘(规则发现)两部分。实验结果表明预测效果良好。     

Knowledge distilling based model compression and feature learning in fault diagnosis

Recently, there has been interest in developing diagnosis methods that combine model-based and data-driven diagnosis. In both approaches, selecting the relevant measurements or extracting important features from historical data is a key determiner of the success of the algorithm. Recently, deep learning methods have been effective in automating the feature selection process. Autoencoders have been shown to be an effective neural network configuration for extracting features from complex data, however, they may also learn irrelevant features. In addition, end-to-end classification neural networks have also been used for diagnosis, but like autoencoders, this method may also learn unimportant features thus making the diagnostic inference scheme inefficient. To rapidly extract significant fault features, this paper employs end-to-end networks and develops a new feature extraction method based on importance analysis and knowledge distilling. First, a set of cumbersome neural network models are trained to predict faults and some of their internal values are defined as features. Then an occlusion-based importance analysis method is developed to select the most relevant input variables and learned features. Finally, a simple student neural network model is designed based on the previous analysis results and an improved knowledge distilling method is proposed to train the student model. Because of the way the cumbersome networks are trained, only fault features are learned, with the importance analysis further pruning the relevant feature set. These features can be rapidly generated by the student model. We discuss the algorithms, and then apply our method to two typical dynamic systems, a communication system and a 10-tank system employed to demonstrate the proposed approach.     

Using single-layered neural networks for the extraction of conjunctive rules and hierarchical classifications

Machine Learning is an area concerned with the automation of the process of knowledge acquisition. Neural networks generally represent their knowledge at the lower level, while knowledge based systems use higher level knowledge representations. The method we propose here, provides a technique which automatically allows us to extract production rules from the lower level representation used by a single-layered neural networks trained by Hebb's rule. Even though a single-layered neural network can not model complex, nonlinear domains, their strength in dealing with noise has enabled us to produce correct rules in a noisy domain.