A Bayesian regularized artificial neural network for stock market forecasting

In this paper a Bayesian regularized artificial neural network is proposed as a novel method to forecast financial market behavior. Daily market prices and financial technical indicators are utilized as inputs to predict the one day future closing price of individual stocks. The prediction of stock price movement is generally considered to be a challenging and important task for financial time series analysis. The accurate prediction of stock price movements could play an important role in helping investors improve stock returns. The complexity in predicting these trends lies in the inherent noise and volatility in daily stock price movement. The Bayesian regularized network assigns a probabilistic nature to the network weights, allowing the network to automatically and optimally penalize excessively complex models. The proposed technique reduces the potential for overfitting and overtraining, improving the prediction quality and generalization of the network. Experiments were performed with Microsoft Corp. and Goldman Sachs Group Inc. stock to determine the effectiveness of the model. The results indicate that the proposed model performs as well as the more advanced models without the need for preprocessing of data, seasonality testing, or cycle analysis.     

Combining nonlinear independent component analysis and neural network for the prediction of Asian stock market indexes

With the economic successes of several Asian economies and their increasingly important roles in the global financial market, the prediction of Asian stock markets has becoming a hot research area. As Asian stock markets are highly dynamic and exhibit wide variation, it may more realistic and practical that assumed the stock indexes of Asian stock markets are nonlinear mixture data. In this research, a time series prediction model by combining nonlinear independent component analysis (NLICA) and neural network is proposed to forecast Asian stock markets. NLICA is a novel feature extraction technique to find independent sources from observed nonlinear mixture data where no relevant data mixing mechanisms are available. In the proposed method, we first use NLICA to transform the input space composed of original time series data into the feature space consisting of independent components representing underlying information of the original data. Then, the ICs are served as the input variables of the neural network to build prediction model. Among the Asian stock markets, Japanese and China’s stock markets are the biggest two in Asia and they respectively represent the two types of stock markets. Therefore, in order to evaluate the performance of the proposed approach, the Nikkei 225 closing index and Shanghai B-share closing index are used as illustrative examples. Experimental results show that the proposed forecasting model not only improves the prediction accuracy of the neural network approach but also outperforms the three comparison methods. The proposed stock index prediction model can be therefore a good alternative for Asian stock market indexes.     

A novel model by evolving partially connected neural network for stock price trend forecasting

This paper proposes a novel model by evolving partially connected neural networks (EPCNNs) to predict the stock price trend using technical indicators as inputs. The proposed architecture has provided some new features different from the features of artificial neural networks: (1) connection between neurons is random; (2) there can be more than one hidden layer; (3) evolutionary algorithm is employed to improve the learning algorithm and training weights. In order to improve the expressive ability of neural networks, EPCNN utilizes random connection between neurons and more hidden layers to learn the knowledge stored within the historic time series data. The genetically evolved weights mitigate the well-known limitations of gradient descent algorithm. In addition, the activation function is defined using sin(x) function instead of sigmoid function. Three experiments were conducted which are explained as follows. In the first experiment, we compared the predicted value of the trained EPCNN model with the actual value to evaluate the prediction accuracy of the model. Second experiment studied the over fitting problem which occurred in neural network training by taking different number of neurons and layers. The third experiment compared the performance of the proposed EPCNN model with other models like BPN, TSK fuzzy system, multiple regression analysis and showed that EPCNN can provide a very accurate prediction of the stock price index for most of the data. Therefore, it is a very promising tool in forecasting of the financial time series data.     

基于Elman神经网络的股票价格预测研究

为了更好地把握股票价格的波动，应用了在处理序列数据输入输出具有优越性的Elman 递归神经网络建立股市预测模型，并用两支股票进行了检测，检测结果说明人工神经网络应用于中国股票市场的预测是可行和有效的，有着良好的前景。     

基于多重注意力机制的图神经网络股市波动预测方法

股票市场是金融市场关键组成部分,因此对股票市场波动的研究对合理化控制金融市场风险、提高投资收益提供了重要支持,一直以来都是学术界和相关业界的关注焦点,然而,股票市场会受到各种因素的影响。面对股票市场中多源化、异构化的信息,如何高效挖掘、融合股票市场的多源异构数据具有挑战性。为了充分解释不同信息及信息间相互作用对于股票市场价格波动的影响,提出一种基于多重注意力机制的图神经网络来预测股票市场的价格波动。首先,引入关系维度构建股票市场交易数据和新闻文本的异构子图,并利用多重注意力机制实现图数据的融合;其次,通过图神经网络门控循环单元（GRU）进行图分类,在此基础上完成对股票市场中上证综合指数、沪深300指数、深证成份指数这三个重要指数波动的预测。实验结果表明,从异构信息特性角度,相较于股票市场交易数据,股市新闻信息对于股票价格影响存在滞后性;从异构信息融合角度,所提方法与支持向量机（SVM）、随机森林、多核k-means （MKKM）聚类等算法相比,预测准确率分别提升了17.88个百分点、30.00个百分点和38.00个百分点,并进行了模型交易策略的量化投资模拟。     

自适应径向基神经网络及其应用

提出一种基于硬C均值算法的自适应RBF神经网络。该算法根据网络训练误差的变化,在隐层到输出层的权值修改过程中,对学习步长进行自适应调节;对通常采用的基函数宽度的计算方法作了改进;对于硬C均值算法出现的死节点,则在程序运行中自动进行删除。利用该改进的自适应RBF网络进行某合成氨装置的氢氮比预测,网络计算误差小、收敛迅速、结果令人满意,表明网络具有良好的性能。     

基于RBF神经网络的网络流量建模及预测

随着计算机网络的迅速发展,目前的网络规模极为庞大和复杂,网络流量预测对于网络管理具有至关重要的意义。根据实际网络中测量的大量网络流量数据,建立了一个基于RBF神经网络的流量模型,给出了RBF神经网络的结构设计及基于正交最小二乘的学习算法,并基于该流量模型对网络流量进行预测。仿真结果表明,该模型具有较高的预测效果,相对于传统线性模型及BP神经网络模型具有更高的预测精度和良好的自适应性。     

Stock market prediction using artificial neural networks with optimal feature transformation

This paper compares a feature transformation method using a genetic algorithm (GA) with two conventional methods for artificial neural networks (ANNs). In this study, the GA is incorporated to improve the learning and generalizability of ANNs for stock market prediction. Daily predictions are conducted and prediction accuracy is measured. In this study, three feature transformation methods for ANNs are compared. Comparison of the results achieved by a feature transformation method using the GA to the other two feature transformation methods shows that the performance of the proposed model is better. Experimental results show that the proposed approach reduces the dimensionality of the feature space and decreases irrelevant factors for stock market prediction.     

一种新型神经网络在自由曲面重构中的应用

以层次划分和模块化为思想基础,提出了一种新型神经网络模型对自由曲面进行重构,即基于径向基函数（RBF）神经网络的混合网络模型。先后运用减聚类方法、正交最小二乘法、最大似然法对网络进行有无监督的混合训练,旨在解决大样本集的简化建模和快速训练问题,提高混合网络输出精度。实验结果表明该网络模型使得曲面的拟合精度有了明显提高。     

基于分布式神经网络的苹果价格预测方法

针对传统农产品价格预测模型在大数据场景下无法快速准确对苹果市场价格进行预测的问题,提出一种基于分布式神经网络的苹果价格预测方法。首先,研究影响苹果市场价格的相关因素,选取苹果历史价格、替代品历史价格、居民消费水平和原油价格四个特征作为神经网络模型的输入;然后,构建蕴含价格波动规律的分布式神经网络模型,实现对苹果市场价格的短期预测。实验结果显示,基于分布式神经网络的苹果市场价格短期预测模型具有较高的预测精度,平均相对误差仅为0.50%,满足苹果市场价格预测的要求。实验结果表明,分布式神经网络模型能够通过自学习特性揭示出苹果市场价格的波动规律和发展趋势,所提方法能为稳定苹果市场秩序和市场价格宏观调控提供科学依据,有助于降低价格波动带来的危害,帮助果农规避市场风险。     

An integrated framework of genetic network programming and multi-layer perceptron neural network for prediction of daily stock return: An application in Tehran stock exchange market

Evolutionary algorithms are generally used to find or generate the best individuals in a population. Whenever these algorithms are applied to agent systems, they will lead to optimal solutions. Genetic Network Programming (GNP), which contains graph networks, is one of the developed evolutionary algorithms. When the aim is to forecast the share price or return, ascending and descending trends, volatilities, recent returns, fundamental and technical factors have remarkable impacts on the prediction. This is why technical indicators are used to constitute a set of trading rules. In this paper, we apply an integrated framework consisting of GNP model along with a reinforcement learning and Multi-Layer Perceptron (MLP) neural network to classify data and also time series models to forecast the stock return. Moreover, we utilize rules of accumulation based on the GNP model’s results to forecast the return. The aim of using these models alongside one another is to estimate one-day return. The results derived from 9 stocks with regard to the Tehran Stock Exchange Market. GNP extracts a prodigious number of rules on the basis of 5 technical indicators with 3 times period. Next, MLP network classifies data and finds the similarity between future data and past data concerning a stock (5 sub-period) through classification. Subsequently, a number of conditions are established, in order to choose the best estimation between GNP-RL and ARMA. Distinct comparison with the ARMA–GARCH model, which is operated for return estimation and risk measurement in many researches, demonstrates an extended forecasting power of the proposed model, by the name of GNP–ARMA, reducing error by a mean of 16%.     

A hybrid evolutionary dynamic neural network for stock market trend analysis and prediction using unscented Kalman filter

Stock market prediction is of great interest to stock traders and investors due to high profit in trading the stocks. A successful stock buying/selling generally occurs near price trend turning point. Thus the prediction of stock market indices and its analysis are important to ascertain whether the next day's closing price would increase or decrease. This paper, therefore, presents a simple IIR filter based dynamic neural network (DNN) and an innovative optimized adaptive unscented Kalman filter for forecasting stock price indices of four different Indian stocks, namely the Bombay stock exchange (BSE), the IBM stock market, RIL stock market, and Oracle stock market. The weights of the dynamic neural information system are adjusted by four different learning strategies that include gradient calculation, unscented Kalman filter (UKF), differential evolution (DE), and a hybrid technique (DEUKF) by alternately executing the DE and UKF for a few generations. To improve the performance of both the UKF and DE algorithms, adaptation of certain parameters in both these algorithms has been presented in this paper. After predicting the stock price indices one day to one week ahead time horizon, the stock market trend has been analyzed using several important technical indicators like the moving average (MA), stochastic oscillators like K and D parameters, WMS%R (William indicator), etc. Extensive computer simulations are carried out with the four learning strategies for prediction of stock indices and the up or down trends of the indices. From the results it is observed that significant accuracy is achieved using the hybrid DEUKF algorithm in comparison to others that include only DE, UKF, and gradient descent technique in chronological order. Comparisons with some of the widely used neural networks (NNs) are also presented in the paper.     

改进的高阶神经网络在汇率市场预测中的应用

评价了神经网络和高阶神经网络的性能,并提出了一种新型的具有运算效率高和算法精确等特点的随机高阶神经网络.模拟结果展示了这种模型的可行性和有效性.     

基于神经网络集成的软件故障预测及实验分析

软件系统故障预测是软件测试过程中软件可靠性研究的重点之一。利用软件系统测试过程中前期的故障相关信息进行建模,预测后期的软件故障信息,以便于后期测试和验证资源的合理分配。根据软件测试过程中已知的软件故障时间序列,利用非齐次泊松分布过程、神经网络、神经网络集成等方法对其进行建模。通过对三个实例分别建模,其预测平均相对误差G-O模型依次为3.02%、5.88%和6.58%,而神经网络集成模型为0.19%、1.88%和1.455%,实验结果表明神经网络集成模型具有更精确的预测能力。     

小波神经网络模型的确定性预测及应用

针对神经网络模型预测结果的随机性,构建了一种紧致性小波神经网络工具箱。该方法将小波函数移植到BP网络隐层,并采用一种随机确定状态命令获得确定的预测结果。与编程实现的小波神经网络和BP网络比较,该方法适合于大批量数据训练,对数据样本的适应能力和鲁棒性强,尤其对高频随机时间序列有更好的适应能力,具有预测结果确定及实用性强等特点,可显著提高模型的训练速度、预测精度和预测效率。基于小波包变换和小波神经网络的瓦斯涌出量预测实验证明了所提方法的有效性。     

基于改进遗传算法和图神经网络的股市波动预测方法

针对支持向量机（SVM）、长短期记忆（LSTM）网络等智能算法在股市波动预测过程中股票评价特征选择困难及时序关系维度特征缺失的问题,为能够准确预测股票波动、有效防范金融市场风险,提出了一种基于改进遗传算法（IGA）和图神经网络（GNN）的股市波动预测方法——IGA-GNN。首先,利用相邻交易日间的时序关系构建股市交易指标图数据;其次,通过评价指标特性优化交叉、变异概率来改进遗传算法（GA）,从而实现节点特征选择;然后,建立图数据的边与节点特征的权重矩阵;最后,运用GNN进行图数据节点的聚合与分类,实现了股市波动预测。在实验阶段,所研究的股票总评价指标数为130个,其中IGA在GNN方法下提取的有效评价指标87个,使指标数量降低了33.08%。应用所提IGA在智能算法中进行特征提取,得到的算法与未进行特征提取的智能算法相比,预测准确率整体提升了7.38个百分点;而与应用传统GA进行智能算法的特征提取相比,应用所提IGA进行智能算法的特征提取的总训练时间缩短了17.97%。其中,IGA-GNN方法的预测准确率最高,相较未进行特征提取的GNN方法的预测准确率整体提高了19.62个百分点;而该方法与用传统GA进行特征提取的GNN方法相比,训练时间平均缩短了15.97%。实验结果表明,所提方法可对股票特征进行有效提取,预测效果较好。     

Predicting the Brazilian stock market through neural networks and adaptive exponential smoothing methods

The study of financial markets has been addressed in many works during the last years. Different methods have been used in order to capture the non-linear behavior which is characteristic of these complex systems. The development of profitable strategies has been associated with the predictive character of the market movement, and special attention has been devoted to forecast the trends of financial markets. This work performs a predictive study of the principal index of the Brazilian stock market through artificial neural networks and the adaptive exponential smoothing method, respectively. The objective is to compare the forecasting performance of both methods on this market index, and in particular, to evaluate the accuracy of both methods to predict the sign of the market returns. Also the influence on the results of some parameters associated to both methods is studied. Our results show that both methods produce similar results regarding the prediction of the index returns. On the contrary, the neural networks outperform the adaptive exponential smoothing method in the forecasting of the market movement, with relative hit rates similar to the ones found in other developed markets.     

基于RBF神经网络的赤潮预测方法

赤潮是一种由多因素综合作用引发的生态异常现象,具有突发性及非线性等特点。对其进行预测预报一直是海洋科学研究的热点。简要介绍了RBF神经网络的基本原理,探讨了应用该人工神经网络进行赤潮预测的方法。利用RBF神经网络模型对赤潮灾害监测数据进行仿真实验,并对结果进行了分析。     

基于改进的RBF神经网络的人民币汇率预测研究

针对RBF神经网络分段算法中对近似线性时间序列数据预测误差较大这一不足,在原有RBF神经网络模型基础上提出了一种改进算法。该算法以分段取中心值为基础,优化原算法中径向基函数中心点值的确定,提高了对近似线性时间序列数据预测的准确度。通过对近两年美元兑人民币汇率数据的预测测试,表明改进算法在预测准确性比原算法有较大提高。     

A comparison of linear and neural network ARX models applied to a prediction of the indoor temperature of a building

A neural network auto regressive with exogenous input (NNARX) model is used to predict the indoor temperature of a residential building. Firstly, the optimal regressor of a linear ARX model is identified by minimising Akaikes final prediction error (FPE). This regressor is then used as the input vector of a fully connected feedforward neural network with one hidden layer of ten units and one output unit. Results show that the NNARX model outperforms the linear model considerably: the sum of the squared error (SSE) is 15.0479 with the ARX model and 2.0632 with the NNARX model. The optimal network topology is subsequently determined by pruning the fully connected network according to the optimal brain surgeon (OBS) strategy. With this procedure near 73% of connections were removed and, as a result, the performance of the network has been improved: the SSE is equal to 0.9060.