Modeling Financial Time Series with Artificial Neural Networks

Financial time series convey the decisions and actions of a population of human actors over time. Econometric and regressive models have been developed in the past decades for analyzing these time series. More recently, biologically inspired artificial neural network models have been shown to overcome some of the main challenges of traditional techniques by better exploiting the non-linear, non-stationary, and oscillatory nature of noisy, chaotic human interactions. This review paper explores the options, benefits, and weaknesses of the various forms of artificial neural networks as compared with regression techniques in the field of financial time series analysis.

Subset Warping: Rubber Sheeting with Cuts

Image warping, often referred to as "rubber sheeting" represents the deformation of a domain image space into a range image space. In this paper, a technique is described which extends the definition of a rubber-sheet transformation to allow a polygonal region to be warped into one or more subsets of itself, where the subsets may be multiply connected. To do this, it constructs a set of "slits" in the domain image, which correspond to discontinuities in the range image, using a technique based on generalized Voronoi diagrams. The concept of medial axis is extended to describe inner and outer medial contours of a polygon. Polygonal regions are decomposed into annular subregions, and path homotopies are introduced to describe the annular subregions. These constructions motivate the definition of a ladder, which guides the construction of grid point pairs necessary to effect the warp itself.