Volatility smile extrapolation with an artificial neural network

I use a multi-layer feedforward perceptron, with backpropagation learning implemented via stochastic gradient descent, to extrapolate the volatility smile of Euribor derivatives over low-strikes by training the network on parametric prices.

Automatic Recognition of Leaves by Shape Detection Pre-Processing with Ica

In this work we present a simulation of a recognition process with perimeter characterization of a simple plant leaves as a unique discriminating parameter. Data coding allowing for independence of leaves size and orientation may penalize performance recognition for some varieties. Border description sequences are then used to characterize the leaves. Independent Component Analysis (ICA) is then applied in order to study which is the best number of components to be considered for the classification task, implemented by means of an Artificial Neural Network (ANN). Obtained results with ICA as a pre-processing tool are satisfactory, and compared with some references our system improves the recognition success up to 80.8% depending on the number of considered independent components.

Validation procedures in radiological diagnostic models. Neural network and logistic regression

The objective of this paper is to compare the performance of twopredictive radiological models, logistic regression (LR) and neural network (NN), with five different resampling methods. One hundred and sixty-seven patients with proven calvarial lesions as the only known disease were enrolled. Clinical and CT data were used for LR and NN models. Both models were developed with cross validation, leave-one-out and three different bootstrap algorithms. The final results of each model were compared with error rate and the area under receiver operating characteristic curves (Az). The neural network obtained statistically higher Az than LR with cross validation. The remaining resampling validation methods did not reveal statistically significant differences between LR and NN rules. The neural network classifier performs better than the one based on logistic regression. This advantage is well detected by three-fold cross-validation, but remains unnoticed when leave-one-out or bootstrap algorithms are used.

Hierarchical neural network with high storage capacity

A recent method used to optimize biased neural networks with low levels of activity is applied to a hierarchical model. As a consequence, the performance of the system is strongly enhanced. The steps to achieve optimization are analyzed in detail.

Forecasting tourism demand to Catalonia: neural networks vs. time series models

The increasing interest aroused by more advanced forecasting techniques, together with the requirement for more accurate forecasts of tourismdemand at the destination level due to the constant growth of world tourism, has lead us to evaluate the forecasting performance of neural modelling relative to that of time seriesmethods at a regional level. Seasonality and volatility are important features of tourism data, which makes it a particularly favourable context in which to compare the forecasting performance of linear models to that of nonlinear alternative approaches. Pre-processed official statistical data of overnight stays and tourist arrivals fromall the different countries of origin to Catalonia from 2001 to 2009 is used in the study. When comparing the forecasting accuracy of the different techniques for different time horizons, autoregressive integrated moving average models outperform self-exciting threshold autoregressions and artificial neural network models, especially for shorter horizons. These results suggest that the there is a trade-off between the degree of pre-processing and the accuracy of the forecasts obtained with neural networks, which are more suitable in the presence of nonlinearity in the data. In spite of the significant differences between countries, which can be explained by different patterns of consumer behaviour,we also find that forecasts of tourist arrivals aremore accurate than forecasts of overnight stays.

Using self organizing maps on compositional data

Self-organizing maps (Kohonen 1997) is a type of artificial neural network developedto explore patterns in high-dimensional multivariate data. The conventional versionof the algorithm involves the use of Euclidean metric in the process of adaptation ofthe model vectors, thus rendering in theory a whole methodology incompatible withnon-Euclidean geometries.In this contribution we explore the two main aspects of the problem:1. Whether the conventional approach using Euclidean metric can shed valid resultswith compositional data.2. If a modification of the conventional approach replacing vectorial sum and scalarmultiplication by the canonical operators in the simplex (i.e. perturbation andpowering) can converge to an adequate solution.Preliminary tests showed that both methodologies can be used on compositional data.However, the modified version of the algorithm performs poorer than the conventionalversion, in particular, when the data is pathological. Moreover, the conventional ap-proach converges faster to a solution, when data is \well-behaved".Key words: Self Organizing Map; Artificial Neural networks; Compositional data

On the Selection of Non-Invasive Methods Based on Speech Analysis Oriented to Automatic Alzheimer Disease Diagnosis

The work presented here is part of a larger study to identify novel technologies and biomarkers for early Alzheimer disease (AD) detection and it focuses on evaluating the suitability of a new approach for early AD diagnosis by non-invasive methods. The purpose is to examine in a pilot study the potential of applying intelligent algorithms to speech features obtained from suspected patients in order to contribute to the improvement of diagnosis of AD and its degree of severity. In this sense, Artificial Neural Networks (ANN) have been used for the automatic classification of the two classes (AD and control subjects). Two human issues have been analyzed for feature selection: Spontaneous Speech and Emotional Response. Not only linear features but also non-linear ones, such as Fractal Dimension, have been explored. The approach is non invasive, low cost and without any side effects. Obtained experimental results were very satisfactory and promising for early diagnosis and classification of AD patients.

Selecting the most relevant variables for anaerobic digestion imbalances : Two case studies

In this study, a wrapper approach was applied to objectively select the most important variables related to two different anaerobic digestion imbalances, acidogenic states and foaming. This feature selection method, implemented in artificial neural networks (ANN), was performed using input and output data from a fully instrumented pilot plant (1 m 3 upflow fixed bed digester). Results for acidogenic states showed that pH, volatile fatty acids, and inflow rate were the most relevant variables. Results for foaming showed that inflow rate and total organic carbon were among the relevant variables, both of which were related to the feed loading of the digester. Because there is not a complete agreement on the causes of foaming, these results highlight the role of digester feeding patterns in the development of foaming

Efficient learning of reactive robot behaviors with a Neural-Q_learning approach

The purpose of this paper is to propose a Neural-Q_learning approach designed for online learning of simple and reactive robot behaviors. In this approach, the Q_function is generalized by a multi-layer neural network allowing the use of continuous states and actions. The algorithm uses a database of the most recent learning samples to accelerate and guarantee the convergence. Each Neural-Q_learning function represents an independent, reactive and adaptive behavior which maps sensorial states to robot control actions. A group of these behaviors constitutes a reactive control scheme designed to fulfill simple missions. The paper centers on the description of the Neural-Q_learning based behaviors showing their performance with an underwater robot in a target following task. Real experiments demonstrate the convergence and stability of the learning system, pointing out its suitability for online robot learning. Advantages and limitations are discussed