Pricing and hedging short sterling options using artificial neural networks

This paper compares the performance of artificial neural networks (ANNs) with that of the modified Black model in both pricing and hedging Short Sterling options. Using high frequency data, standard and hybrid ANNs are trained to generate option prices. The hybrid ANN is significantly superior to both the modified Black model and the standard ANN in pricing call and put options. Hedge ratios for hedging Short Sterling options positions using Short Sterling futures are produced using the standard and hybrid ANN pricing models, the modified Black model, and also standard and hybrid ANNs trained directly on the hedge ratios. The performance of hedge ratios from ANNs directly trained on actual hedge ratios is significantly superior to those based on a pricing model, and to the modified Black model.

Complex-valued b-spline neural networks for modelling and inverse of wiener systems

Communication signal processing applications often involve complex-valued (CV) functional representations for signals and systems. CV artificial neural networks have been studied theoretically and applied widely in nonlinear signal and data processing [1–11]. Note that most artificial neural networks cannot be automatically extended from the real-valued (RV) domain to the CV domain because the resulting model would in general violate Cauchy-Riemann conditions, and this means that the training algorithms become unusable. A number of analytic functions were introduced for the fully CV multilayer perceptrons (MLP) [4]. A fully CV radial basis function (RBF) nework was introduced in [8] for regression and classification applications. Alternatively, the problem can be avoided by using two RV artificial neural networks, one processing the real part and the other processing the imaginary part of the CV signal/system. A even more challenging problem is the inverse of a CV

Complex-valued B-spline neural networks for modeling and inverting Hammerstein systems

Many communication signal processing applications involve modelling and inverting complex-valued (CV) Hammerstein systems. We develops a new CV B-spline neural network approach for efficient identification of the CV Hammerstein system and effective inversion of the estimated CV Hammerstein model. Specifically, the CV nonlinear static function in the Hammerstein system is represented using the tensor product from two univariate B-spline neural networks. An efficient alternating least squares estimation method is adopted for identifying the CV linear dynamic model’s coefficients and the CV B-spline neural network’s weights, which yields the closed-form solutions for both the linear dynamic model’s coefficients and the B-spline neural network’s weights, and this estimation process is guaranteed to converge very fast to a unique minimum solution. Furthermore, an accurate inversion of the CV Hammerstein system can readily be obtained using the estimated model. In particular, the inversion of the CV nonlinear static function in the Hammerstein system can be calculated effectively using a Gaussian-Newton algorithm, which naturally incorporates the efficient De Boor algorithm with both the B-spline curve and first order derivative recursions. The effectiveness of our approach is demonstrated using the application to equalisation of Hammerstein channels.

Towards optimizing the selection of neurons in affordable neural networks

This paper considers variations of a neuron pool selection method known as Affordable Neural Network (AfNN). A saliency measure, based on the second derivative of the objective function is proposed to assess the ability of a trained AfNN to provide neuronal redundancy. The discrepancies between the various affordability variants are explained by correlating unique sub group selections with relevant saliency variations. Overall this study shows that the method in which neurons are selected from a pool is more relevant to how salient individual neurons are, than how often a particular neuron is used during training. The findings herein are relevant to not only providing an analogy to brain function but, also, in optimizing the way a neural network using the affordability method is trained.

Single-carrier frequency domain equalisation for hammerstein communication systems using complex-valued neural networks

Single-carrier (SC) block transmission with frequency-domain equalisation (FDE) offers a viable transmission technology for combating the adverse effects of long dispersive channels encountered in high-rate broadband wireless communication systems. However, for high bandwidthefficiency and high power-efficiency systems, the channel can generally be modelled by the Hammerstein system that includes the nonlinear distortion effects of the high power amplifier (HPA) at transmitter. For such nonlinear Hammerstein channels, the standard SC-FDE scheme no longer works. This paper advocates a complex-valued (CV) B-spline neural network based nonlinear SC-FDE scheme for Hammerstein channels. Specifically, We model the nonlinear HPA, which represents the CV static nonlinearity of the Hammerstein channel, by a CV B-spline neural network, and we develop two efficient alternating least squares schemes for estimating the parameters of the Hammerstein channel, including both the channel impulse response coefficients and the parameters of the CV B-spline model. We also use another CV B-spline neural network to model the inversion of the nonlinear HPA, and the parameters of this inverting B-spline model can easily be estimated using the standard least squares algorithm based on the pseudo training data obtained as a natural byproduct of the Hammerstein channel identification. Equalisation of the SC Hammerstein channel can then be accomplished by the usual one-tap linear equalisation in frequency domain as well as the inverse B-spline neural network model obtained in time domain. Extensive simulation results are included to demonstrate the effectiveness of our nonlinear SC-FDE scheme for Hammerstein channels.

Real-Time software control of neural stimulation in a closed loop Animat system

A recent area for investigation into the development of adaptable robot control is the use of living neuronal networks to control a mobile robot. The so-called Animat paradigm comprises a neuronal network (the ‘brain’) connected to an external embodiment (in this case a mobile robot), facilitating potentially robust, adaptable robot control and increased understanding of neural processes. Sensory input from the robot is provided to the neuronal network via stimulation on a number of electrodes embedded in a specialist Petri dish (Multi Electrode Array (MEA)); accurate control of this stimulation is vital. We present software tools allowing precise, near real-time control of electrical stimulation on MEAs, with fast switching between electrodes and the application of custom stimulus waveforms. These Linux-based tools are compatible with the widely used MEABench data acquisition system. Benefits include rapid stimulus modulation in response to neuronal activity (closed loop) and batch processing of stimulation protocols.

A reconfigurable neural environment on active networks

This paper proposes the deployment of a neural network computing environment on Active Networks. Active Networks are packet-switched computer networks in which packets can contain code fragments that are executed on the intermediate nodes. This feature allows the injection of small pieces of codes to deal with computer network problems directly into the network core, and the adoption of new computing techniques to solve networking problems. The goal of our project is the adoption of a distributed neural network for approaching tasks which are specific of the computer network environment. Dynamically reconfigurable neural networks are spread on an experimental wide area backbone of active nodes (ABone) to show the feasibility of the proposed approach.

A forward constrained selection algorithm for probabilistic neural network

A new probabilistic neural network (PNN) learning algorithm based on forward constrained selection (PNN-FCS) is proposed. An incremental learning scheme is adopted such that at each step, new neurons, one for each class, are selected from the training samples arid the weights of the neurons are estimated so as to minimize the overall misclassification error rate. In this manner, only the most significant training samples are used as the neurons. It is shown by simulation that the resultant networks of PNN-FCS have good classification performance compared to other types of classifiers, but much smaller model sizes than conventional PNN.

Detection of Parkinson’s disease tremor-onset with a frequency analysing artificial neural network

Deep Brain Stimulator devices are becoming widely used for therapeutic benefits in movement disorders such as Parkinson's disease. Prolonging the battery life span of such devices could dramatically reduce the risks and accumulative costs associated with surgical replacement. This paper demonstrates how an artificial neural network can be trained using pre-processing frequency analysis of deep brain electrode recordings to detect the onset of tremor in Parkinsonian patients. Implementing this solution into an 'intelligent' neurostimulator device will remove the need for continuous stimulation currently used, and open up the possibility of demand-driven stimulation. Such a methodology could potentially decrease the power consumption of a deep brain pulse generator.

Architecture for Living Neuronal Network Control of a mobile robot

The intelligent controlling mechanism of a typical mobile robot is usually a computer system. Research is however now ongoing in which biological neural networks are being cultured and trained to act as the brain of an interactive real world robot – thereby either completely replacing or operating in a cooperative fashion with a computer system. Studying such neural systems can give a distinct insight into biological neural structures and therefore such research has immediate medical implications. The principal aims of the present research are to assess the computational and learning capacity of dissociated cultured neuronal networks with a view to advancing network level processing of artificial neural networks. This will be approached by the creation of an artificial hybrid system (animat) involving closed loop control of a mobile robot by a dissociated culture of rat neurons. This paper details the components of the overall animat closed loop system architecture and reports on the evaluation of the results from preliminary real-life and simulated robot experiments.

Networks of contextualised ontologies for the Semantic Web

Currently many ontologies are available for addressing different domains. However, it is not always possible to deploy such ontologies to support collaborative working, so that their full potential can be exploited to implement intelligent cooperative applications capable of reasoning over a network of context-specific ontologies. The main problem arises from the fact that presently ontologies are created in an isolated way to address specific needs. However we foresee the need for a network of ontologies which will support the next generation of intelligent applications/devices, and, the vision of Ambient Intelligence. The main objective of this paper is to motivate the design of a networked ontology (Meta) model which formalises ways of connecting available ontologies so that they are easy to search, to characterise and to maintain. The aim is to make explicit the virtual and implicit network of ontologies serving the Semantic Web.

Improved SOM learning using simulated annealing

Self-Organizing Map (SOM) algorithm has been extensively used for analysis and classification problems. For this kind of problems, datasets become more and more large and it is necessary to speed up the SOM learning. In this paper we present an application of the Simulated Annealing (SA) procedure to the SOM learning algorithm. The goal of the algorithm is to obtain fast learning and better performance in terms of matching of input data and regularity of the obtained map. An advantage of the proposed technique is that it preserves the simplicity of the basic algorithm. Several tests, carried out on different large datasets, demonstrate the effectiveness of the proposed algorithm in comparison with the original SOM and with some of its modification introduced to speed-up the learning.

Distributed intelligent management of active networks

This paper focuses on improving computer network management by the adoption of artificial intelligence techniques. A logical inference system has being devised to enable automated isolation, diagnosis, and even repair of network problems, thus enhancing the reliability, performance, and security of networks. We propose a distributed multi-agent architecture for network management, where a logical reasoner acts as an external managing entity capable of directing, coordinating, and stimulating actions in an active management architecture. The active networks technology represents the lower level layer which makes possible the deployment of code which implement teleo-reactive agents, distributed across the whole network. We adopt the Situation Calculus to define a network model and the Reactive Golog language to implement the logical reasoner. An active network management architecture is used by the reasoner to inject and execute operational tasks in the network. The integrated system collects the advantages coming from logical reasoning and network programmability, and provides a powerful system capable of performing high-level management tasks in order to deal with network fault.