A hybrid ANFIS model based on empirical mode decomposition for stock time series forecasting

Time series forecasting is an important and widely popular topic in the research of system modeling, and stock index forecasting is an important issue in time series forecasting. Accurate stock price forecasting is a challenging task in predicting financial time series. Time series methods have been applied successfully to forecasting models in many domains, including the stock market. Unfortunately, there are 3 major drawbacks of using time series methods for the stock market: (1) some models can not be applied to datasets that do not follow statistical assumptions; (2) most time series models that use stock data with a significant amount of noise involutedly (caused by changes in market conditions and environments) have worse forecasting performance; and (3) the rules that are mined from artificial neural networks (ANNs) are not easily understandable.To address these problems and improve the forecasting performance of time series models, this paper proposes a hybrid time series adaptive network-based fuzzy inference system (ANFIS) model that is centered around empirical mode decomposition (EMD) to forecast stock prices in the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and Hang Seng Stock Index (HSI). To measure its forecasting performance, the proposed model is compared with Chen's model, Yu's model, the autoregressive (AR) model, the ANFIS model, and the support vector regression (SVR) model. The results show that our model is superior to the other models, based on root mean squared error (RMSE) values.     

Identifying Market Behaviours Using European Stock Index Time Series by a Hybrid Segmentation Algorithm

The discovery of useful patterns embodied in a time series is of fundamental relevance in many real applications. Repetitive structures and common type of segments can also provide very useful information of patterns in financial time series. In this paper, we introduce a time series segmentation and characterization methodology combining a hybrid genetic algorithm and a clustering technique to automatically group common patterns from this kind of financial time series and address the problem of identifying stock market prices trends. This hybrid genetic algorithm includes a local search method aimed to improve the quality of the final solution. The local search algorithm is based on maximizing a likelihood ratio, assuming normality for the series and the subseries in which the original one is segmented. To do so, we select two stock market index time series: IBEX35 Spanish index (closing prices) and a weighted average time series of the IBEX35 (Spanish), BEL20 (Belgian), CAC40 (French) and DAX (German) indexes. These are processed to obtain segments that are mapped into a five dimensional space composed of five statistical measures, with the purpose of grouping them according to their statistical properties. Experimental results show that it is possible to discover homogeneous patterns in both time series.     

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.     

Detection of correlation characteristics between financial time series based on multi-resolution analysis

Interactions between financial time series are complex and changeable in both time and frequency domains. To reveal the evolution characteristics of the time-varying relations between bivariate time series from a multi-resolution perspective, this study introduces an approach combining wavelet analysis and complex networks. In addition, to reduce the influence the phase lag between the time series has on the correlations, we propose dynamic time-warping (DTW) correlation coefficients to reflect the correlation degree between bivariate time series. Unlike previous studies that symbolized the time series only based on the correlation strength, the second-level symbol is set according to the correlation length during the coarse-graining process. This study presents a novel method to analyze bivariate time series and provides more information for investors and decision makers when investing in the stock market. We choose the closing prices of two stocks in China’s market as the sample and explore the evolutionary behavior of correlation modes from different resolutions. Furthermore, we perform experiments to discover the critical correlation modes between the bull market and the bear market on the high-resolution scale, the clustering effect during the financial crisis on the middle-resolution scale, and the potential pseudo period on the low-resolution scale. The experimental results exactly match reality, which provides powerful evidence to prove that our method is effective in financial time series analysis.     

A comparative study of artificial neural networks,and decision trees for digital game content stocks price prediction

Precise prediction of stock prices is difficult chiefly because of the many intervening factors. Unpredictability is particularly notable in the aftermath of the global financial crisis. Data mining may however be used to discover highly correlated estimation models. This study looks at artificial neural networks (ANN), decision trees and the hybrid model of ANN and decision trees (hybrid model), the three common algorithm methods used for numerical analysis, to forecast stock prices. The author compared the stock price forecasting models derived from the three methods, and applied the models on 10 different stocks in 320 data sets in an empirical forecast. Average accuracy of ANN is 15.31%, the highest, in terms of match with real market stock prices, followed by decision trees, at 14.06%; hybrid model is 13.75%. The study also discovers that compared to the other two methods, ANN is a more stable method for predicting stock prices in the volatile post-crisis stock market.     

Deep Learning and Time Series-to-Image Encoding for Financial Forecasting

In the last decade,market financial forecasting has attracted high interests amongst the researchers in pattern recognition.Usually,the data used for analysing the market,and then gamble on its future trend,are provided as time series;this aspect,along with the high fluctuation of this kind of data,cuts out the use of very efficient classification tools,very popular in the state of the art,like the well known convolutional neural networks(CNNs)models such as Inception,Res Net,Alex Net,and so on.This forces the researchers to train new tools from scratch.Such operations could be very time consuming.This paper exploits an ensemble of CNNs,trained over Gramian angular fields(GAF)images,generated from time series related to the Standard&Poor's 500 index future;the aim is the prediction of the future trend of the U.S.market.A multi-resolution imaging approach is used to feed each CNN,enabling the analysis of different time intervals for a single observation.A simple trading system based on the ensemble forecaster is used to evaluate the quality of the proposed approach.Our method outperforms the buyand-hold(B&H)strategy in a time frame where the latter provides excellent returns.Both quantitative and qualitative results are provided.     

Using the XCS classifier system for portfolio allocation of MSCI index component stocks

In a recent study, Schulenburg and Ross (2001) proposed the LCS for short-term stock forecast. Studley and Bull (2007) proposed the extended classifier system (XCS) agent to model different traders by supplying different input information. Announcement made by Morgan Stanley Capital Investment (MSCI) regarding the additions, removals, and even the weights of the component stocks in its country indices every quarter generally would cause changes to the prices and/or trade volumes of the associated component stocks. This paper takes an XCS in artificial intelligence to dynamically learn and adapt to the changes to the component stocks in order to optimize portfolio allocation of the component stocks. Since these price trends of MSCI component stocks are influenced by unknown and unpredictable surroundings, using XCS to model the fluctuations on financial market allows for the capability to discover the patterns of future trends. This simulation works on the basis of the changes to 121 component stocks in the MSCI Taiwan index between 1998 and 2009 suggests the XCS can produce the great profit and optimize portfolio allocation.     

Improving option price forecasts with neural networks and support vector regressions

Options are important financial derivatives that allow investors to control their investment risks in the securities market. Determining the theoretical price for an option, or option pricing, is regarded as one of the most important issues in financial research; a number of parametric and nonparametric option pricing approaches have been presented. While the objective of option pricing is to find the current fair price, for decision making, in contrast, the forecasting activity has to accurately predict the future option price without advance knowledge of the underlying asset price. In this paper, a simple and effective nonparametric method of forecasting option prices based on neural networks (NNs) and support vector regressions (SVRs) is presented. We first modified the improved conventional option pricing methods, allowing them to forecast the option prices. Second, we employed the NNs and SVRs to further decrease the forecasting errors of the parametric methods. Since the conventional methods mimic the trends of movement of the real option prices, using these methods in a first stage allows the NNs and SVRs to concentrate their power in nonlinear curve approximation to further reduce the forecasting errors in a second stage. Finally, extensive experimental studies with data from the Hong Kong option market demonstrated the ability of NNs and SVRs to improve forecast accuracy.     

基于CNN和MC的水文时间序列预测组合模型

对于水位精准的预测是预防洪涝灾害的有效措施。在深度学习不断发展的背景下,提出基于卷积神经网络和马尔科夫链的水文时间序列预测组合模型,该模型解决了现有算法未考虑站点之间空间的相关性、多维输入的时候会提高特征提取中数据重建的复杂度,以及单一模型只考虑水位时间序列线性部分而未考虑非线性部分所导致的预测精度低的问题。该组合模型首先运用卷积神经网络训练水位时间序列和降雨量时间序列对未来水位进行预测,并结合原始时间序列计算得到残差序列,再将使用马尔科夫链训练残差序列得到的残差预测结果和卷积神经网络预测的值相加得到最终的结果。实验表明,该方法与现有算法相比,在预报准确率上能够取得更好的效果。     

基于时间序列分析的销售市场的预测研究

时间序列预测分析利用科学的方法和手段,对未来一定时期内的市场需求、发展趋势和营销影响因素的变化做出判断,为营销决策服务。本文使用Excel的软件提供的定量预测功能和时间序列预测法,可以很好地辅助销售市场预测分析。     

Forecasting financial time series using a methodology based on autoregressive integrated moving average and Taylor expansion

Financial time series prediction is regarded as one of the most challenging job because of its inherent complexity, and the hybrid forecasting model incorporating autoregressive integrated moving average and support vector machine (SVM) has been implemented widely to deal with the both linear and nonlinear patterns in time series data. However, the SVM model does not take into consideration the time correlation knowledge between different data points in time series, which impacts the learning efficiency of the SVM in real application. To overcome this restriction, this paper proposes the Taylor Expansion Forecasting model as an alternative to the SVM and develops a novel hybrid methodology via combining autoregressive integrated moving average and Taylor Expansion Forecasting to exploit the comprehensive forecasting capacity to the financial time series data with noise. Both theoretical proof and empirical results obtained on several commodity future prices demonstrate that the proposed hybrid model improves greatly the forecasting accuracy.     

Financial prediction: Some pointers,pitfalls and common errors

There is growing interest both in the field of neural computing and in the financial world in the possibility of using neural networks to forecast the future changes in prices of stocks, exchange rates, commodities and other financial time series. Since networks have been shown to be capable of modelling the underlying structure of a time series, many attempts have been made at exploiting that capability in order to carry out a technical analysis of such prices. If the efficient markets hypothesis is true, however, there is no underlying structure to be modelled, and the whole endeavour is doomed to failure. This paper investigates the common methods for such an approach, and outlines the major pitfalls and common errors to avoid. The author hopes that by pointing out the possible pitfalls now, we can avoid making claims to the commercial world before we are properly ready to do so.     

一种面向金融数据的基于ARIMA的模糊时间序列预测模型

时序分析方法在金融数据挖掘中扮演着越来越重要的角色,然而,历史数据的不完整、不确切性制约着传统金融时间序列预测方法的准确性。创新地定义ARIMA模型的相似性和模,并融合模糊时间序列方法,提出新的基于ARIMA的模糊时间序列预测模型。该模型能够高效处理不完整的、含糊的历史数据,并对未来走势进行有效预测。一方面, ARIMA模型的简约灵活性使得对高维金融时间序列的特征提取大为简化;另一方面,由于结合模糊逻辑的理论,该方法能够有效发现历史数据中的相似模式。以人民币兑美元汇率为例,通过对预测结果的分析,验证了的新模型的有效性。     

基于减法聚类模糊推理系统的短期负荷预测

采用减法聚类辅助模糊推理系统进行电力系统短期负荷预测。首先用减法聚类建立T-S模糊模型,然后通过调整聚类半径优选模糊规则数,以取得具有良好泛化性能的模型,最后利用梯度下降混合最小二乘算法精调参数。利用某局网负荷数据对ANFIS网络模型进行训练和检测,然后用于负荷预测,所得结果表明该算法鲁棒性好,抗干扰能力强,并且预测时间较ANFIS大大减少。     

Supervised classification of share price trends

Share price trends can be recognized by using data clustering methods. However, the accuracy of these methods may be rather low. This paper presents a novel supervised classification scheme for the recognition and prediction of share price trends. We first produce a smooth time series using zero-phase filtering and singular spectrum analysis from the original share price data. We train pattern classifiers using the classification results of both original and filtered time series and then use these classifiers to predict the future share price trends. Experiment results obtained from both synthetic data and real share prices show that the proposed method is effective and outperforms the well-known K-means clustering algorithm.     

Improving stock index forecasts by using a new weighted fuzzy-trend time series method

We propose using new weighted operators in fuzzy time series to forecast the future performance of stock market indices. Based on the chronological sequence of weights associated with the original fuzzy logical relationships, we define both chronological-order and trend-order weights, and incorporate our proposals for the ex-post forecast into the classical modeling approach of fuzzy time series. These modifications for the assignation of weights affect the forecasting process, because we use jumps as technical indicators to predict stock trends, and additionally, they provide a trapezoidal fuzzy number as a forecast of the future performance of the stock index value. Working with trapezoidal fuzzy numbers allows us to analyze both the expected value and the ambiguity of the future behavior of the stock index, using a possibilistic interval-valued mean approach. Therefore, using fuzzy logic more useful information is provided to the decision analyst, which should be appropriate in a financial context. We analyze the effectiveness of our approach with respect to other weighted fuzzy time series methods using trading data sets from the Taiwan Stock Index (TAIEX), the Japanese NIKKEI Index, the German Stock Index (DAX) and the Spanish Stock Index (IBEX35). The comparative results indicate the better accuracy of our procedure for point-wise one-step ahead forecasts.     

The application of ridge polynomial neural network to multi-step ahead financial time series prediction

Motivated by the slow learning properties of multilayer perceptrons (MLPs) which utilize computationally intensive training algorithms, such as the backpropagation learning algorithm, and can get trapped in local minima, this work deals with ridge polynomial neural networks (RPNN), which maintain fast learning properties and powerful mapping capabilities of single layer high order neural networks. The RPNN is constructed from a number of increasing orders of Pi–Sigma units, which are used to capture the underlying patterns in financial time series signals and to predict future trends in the financial market. In particular, this paper systematically investigates a method of pre-processing the financial signals in order to reduce the influence of their trends. The performance of the networks is benchmarked against the performance of MLPs, functional link neural networks (FLNN), and Pi–Sigma neural networks (PSNN). Simulation results clearly demonstrate that RPNNs generate higher profit returns with fast convergence on various noisy financial signals.     

Residential property price time series forecasting with neural networks

The residential property market accounts for a substantial proportion of UK economic activity. Professional valuers estimate property values based on current bid prices (open market values). However, there is no reliable forecasting service for residential values with current bid prices being taken as the best indicator of future price movement. This approach has failed to predict the periodic market crises or to produce estimates of long-term sustainable value (a recent European Directive could be leading mortgage lenders towards the use of sustainable valuations in preference to the open market value). In this paper, we present artificial neural networks, trained using national housing transaction time series data, which forecasts future trends within the housing market.     

A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence

In a simple model of financial market dynamics, we allow the price of a risky security to be set by a market maker depending on the excess demand of heterogeneous interacting traders, fundamentalists and chartists, who place their orders based upon different expectations schemes about future prices: while chartists rely on standard trend-based rules, fundamentalists are assumed to know the economic environment and to form their beliefs accordingly. As price moves away from the long-run fundamental, fundamentalists become less confident in their forecasts, and put increasing weight on a reversion towards the fundamental price. The resulting two-dimensional discrete time dynamical system can exhibit a rich range of dynamic scenarios, often characterized by coexistence of attractors. A simple noisy version of the model reveals a variety of possible patterns for return time series.     

Forecasting notebook computer price as a function of constituent features

This paper proposes a three-phase approach to forecast a competitive price for a notebook computer as a function of constituent features. Phase I uses regression analysis to relate computer price to constituent features in each of a series of time periods. Phase II involves a time series analysis of each regression coefficient to quantify how trends in market conditions (e.g., the evolution of component technology) affect the market value of each feature. Phase III uses the time series analysis to forecast future market values of each feature and combines these results to forecast a competitive selling price for a notebook model that is composed of a selected set of features. The approach can be used in support of management decisions related to prescribing when to upgrade a notebook model and what features to include in each upgrade. The approach can be used, for example, to forecast notebook model price at introduction, and the rate at which price will erode over the model’s life cycle. Computational results indicate that the approach can forecast the price of a notebook computer model up to four months in advance of its introduction to within 10%. It can also forecast the rate of price erosion to within 10% for up to seven months after introduction — the length of the life cycle of a typical notebook model. Since this approach uses only publicly available data, it can be used easily in industry.