Previsão do índice bovespa por meio de redes neurais artificiais: uma análise comparada aos métodos tradicionais de séries de tempo

Forecast is the basis for making strategic, tactical and operational business decisions. In financial economics, several techniques have been used to predict the behavior of assets over the past decades.Thus, there are several methods to assist in the task of time series forecasting, however, conventional modeling techniques such as statistical models and those based on theoretical mathematical models have produced unsatisfactory predictions, increasing the number of studies in more advanced methods of prediction. Among these, the Artificial Neural Networks (ANN) are a relatively new and promising method for predicting business that shows a technique that has caused much interest in the financial environment and has been used successfully in a wide variety of financial modeling systems applications, in many cases proving its superiority over the statistical models ARIMA-GARCH. In this context, this study aimed to examine whether the ANNs are a more appropriate method for predicting the behavior of Indices in Capital Markets than the traditional methods of time series analysis. For this purpose we developed an quantitative study, from financial economic indices, and developed two models of RNA-type feedfoward supervised learning, whose structures consisted of 20 data in the input layer, 90 neurons in one hidden layer and one given as the output layer (Ibovespa). These models used backpropagation, an input activation function based on the tangent sigmoid and a linear output function. Since the aim of analyzing the adherence of the Method of Artificial Neural Networks to carry out predictions of the Ibovespa, we chose to perform this analysis by comparing results between this and Time Series Predictive Model GARCH, developing a GARCH model (1.1).Once applied both methods (ANN and GARCH) we conducted the results' analysis by comparing the results of the forecast with the historical data and by studying the forecast errors by the MSE, RMSE, MAE, Standard Deviation, the Theil's U and forecasting encompassing tests. It was found that the models developed by means of ANNs had lower MSE, RMSE and MAE than the GARCH (1,1) model and Theil U test indicated that the three models have smaller errors than those of a naïve forecast. Although the ANN based on returns have lower precision indicator values than those of ANN based on prices, the forecast encompassing test rejected the hypothesis that this model is better than that, indicating that the ANN models have a similar level of accuracy . It was concluded that for the data series studied the ANN models show a more appropriate Ibovespa forecasting than the traditional models of time series, represented by the GARCH model

Modelos de dispositivos de microondas e ópticos através de redes neurais artificiais de alimentação direta

This dissertation contributes for the development of methodologies through feed forward artificial neural networks for microwave and optical devices modeling. A bibliographical revision on the applications of neuro-computational techniques in the areas of microwave/optical engineering was carried through. Characteristics of networks MLP, RBF and SFNN, as well as the strategies of supervised learning had been presented. Adjustment expressions of the networks free parameters above cited had been deduced from the gradient method. Conventional method EM-ANN was applied in the modeling of microwave passive devices and optical amplifiers. For this, they had been proposals modular configurations based in networks SFNN and RBF/MLP objectifying a bigger capacity of models generalization. As for the training of the used networks, the Rprop algorithm was applied. All the algorithms used in the attainment of the models of this dissertation had been implemented in Matlab

Uso de confiabilidade na rotulação de exemplos em problemas de classificação multirrótulo com aprendizado semissupervisionado

The techniques of Machine Learning are applied in classification tasks to acquire knowledge through a set of data or information. Some learning methods proposed in literature are methods based on semissupervised learning; this is represented by small percentage of labeled data (supervised learning) combined with a quantity of label and non-labeled examples (unsupervised learning) during the training phase, which reduces, therefore, the need for a large quantity of labeled instances when only small dataset of labeled instances is available for training. A commom problem in semi-supervised learning is as random selection of instances, since most of paper use a random selection technique which can cause a negative impact. Much of machine learning methods treat single-label problems, in other words, problems where a given set of data are associated with a single class; however, through the requirement existent to classify data in a lot of domain, or more than one class, this classification as called multi-label classification. This work presents an experimental analysis of the results obtained using semissupervised learning in troubles of multi-label classification using reliability parameter as an aid in the classification data. Thus, the use of techniques of semissupervised learning and besides methods of multi-label classification, were essential to show the results

Investigando a combinação de técnicas de aprendizado semissupervisionado e classificação hierárquica multirrótulo

Data classification is a task with high applicability in a lot of areas. Most methods for treating classification problems found in the literature dealing with single-label or traditional problems. In recent years has been identified a series of classification tasks in which the samples can be labeled at more than one class simultaneously (multi-label classification). Additionally, these classes can be hierarchically organized (hierarchical classification and hierarchical multi-label classification). On the other hand, we have also studied a new category of learning, called semi-supervised learning, combining labeled data (supervised learning) and non-labeled data (unsupervised learning) during the training phase, thus reducing the need for a large amount of labeled data when only a small set of labeled samples is available. Thus, since both the techniques of multi-label and hierarchical multi-label classification as semi-supervised learning has shown favorable results with its use, this work is proposed and used to apply semi-supervised learning in hierarchical multi-label classication tasks, so eciently take advantage of the main advantages of the two areas. An experimental analysis of the proposed methods found that the use of semi-supervised learning in hierarchical multi-label methods presented satisfactory results, since the two approaches were statistically similar results

Previsão do índice bovespa por meio de redes neurais artificiais: uma análise comparada aos métodos tradicionais de séries de tempo

Forecast is the basis for making strategic, tactical and operational business decisions. In financial economics, several techniques have been used to predict the behavior of assets over the past decades.Thus, there are several methods to assist in the task of time series forecasting, however, conventional modeling techniques such as statistical models and those based on theoretical mathematical models have produced unsatisfactory predictions, increasing the number of studies in more advanced methods of prediction. Among these, the Artificial Neural Networks (ANN) are a relatively new and promising method for predicting business that shows a technique that has caused much interest in the financial environment and has been used successfully in a wide variety of financial modeling systems applications, in many cases proving its superiority over the statistical models ARIMA-GARCH. In this context, this study aimed to examine whether the ANNs are a more appropriate method for predicting the behavior of Indices in Capital Markets than the traditional methods of time series analysis. For this purpose we developed an quantitative study, from financial economic indices, and developed two models of RNA-type feedfoward supervised learning, whose structures consisted of 20 data in the input layer, 90 neurons in one hidden layer and one given as the output layer (Ibovespa). These models used backpropagation, an input activation function based on the tangent sigmoid and a linear output function. Since the aim of analyzing the adherence of the Method of Artificial Neural Networks to carry out predictions of the Ibovespa, we chose to perform this analysis by comparing results between this and Time Series Predictive Model GARCH, developing a GARCH model (1.1).Once applied both methods (ANN and GARCH) we conducted the results' analysis by comparing the results of the forecast with the historical data and by studying the forecast errors by the MSE, RMSE, MAE, Standard Deviation, the Theil's U and forecasting encompassing tests. It was found that the models developed by means of ANNs had lower MSE, RMSE and MAE than the GARCH (1,1) model and Theil U test indicated that the three models have smaller errors than those of a naïve forecast. Although the ANN based on returns have lower precision indicator values than those of ANN based on prices, the forecast encompassing test rejected the hypothesis that this model is better than that, indicating that the ANN models have a similar level of accuracy . It was concluded that for the data series studied the ANN models show a more appropriate Ibovespa forecasting than the traditional models of time series, represented by the GARCH model