Predicting market movement with Artificial Neural Networks

This paper presents an application of an Artificial Neural Network (ANN) to the prediction of stock market direction in the US. Using a multilayer perceptron neural network and a backpropagation algorithm for the training process, the model aims at learning the hidden patterns in the daily movement of the S&P500 to correctly identify if the market will be in a Trend Following or Mean Reversion behavior. The ANN is able to produce a successful investment strategy which outperforms the buy and hold strategy, but presents instability in its overall results which compromises its practical application in real life investment decisions.

Using artificial neural networks to generate trading signals for crude oil, copper and gold futures

In this thesis, a feed-forward, back-propagating Artificial Neural Network using the gradient descent algorithm is developed to forecast the directional movement of daily returns for WTI, gold and copper futures. Out-of-sample back-test results vary, with some predictive abilities for copper futures but none for either WTI or gold. The best statistically significant hit rate achieved was 57% for copper with an absolute return Sharpe Ratio of 1.25 and a benchmarked Information Ratio of 2.11.

Logic programming and artificial neural networks in breast cancer detection

About 90% of breast cancers do not cause or are capable of producing death if detected at an early stage and treated properly. Indeed, it is still not known a specific cause for the illness. It may be not only a beginning, but also a set of associations that will determine the onset of the disease. Undeniably, there are some factors that seem to be associated with the boosted risk of the malady. Pondering the present study, different breast cancer risk assessment models where considered. It is our intention to develop a hybrid decision support system under a formal framework based on Logic Programming for knowledge representation and reasoning, complemented with an approach to computing centered on Artificial Neural Networks, to evaluate the risk of developing breast cancer and the respective Degree-of-Confidence that one has on such a happening.

Refinement of neuronal networks in the rodent prefrontal cortex and hippocampus : critical impact of early and late social experiences

Weaning, social environment, dendrites, dendritic spines, limbic system

Comparison between artificial neural networks and maximum likelihood classification in digital soil mapping

Soil surveys are the main source of spatial information on soils and have a range of different applications, mainly in agriculture. The continuity of this activity has however been severely compromised, mainly due to a lack of governmental funding. The purpose of this study was to evaluate the feasibility of two different classifiers (artificial neural networks and a maximum likelihood algorithm) in the prediction of soil classes in the northwest of the state of Rio de Janeiro. Terrain attributes such as elevation, slope, aspect, plan curvature and compound topographic index (CTI) and indices of clay minerals, iron oxide and Normalized Difference Vegetation Index (NDVI), derived from Landsat 7 ETM+ sensor imagery, were used as discriminating variables. The two classifiers were trained and validated for each soil class using 300 and 150 samples respectively, representing the characteristics of these classes in terms of the discriminating variables. According to the statistical tests, the accuracy of the classifier based on artificial neural networks (ANNs) was greater than of the classic Maximum Likelihood Classifier (MLC). Comparing the results with 126 points of reference showed that the resulting ANN map (73.81 %) was superior to the MLC map (57.94 %). The main errors when using the two classifiers were caused by: a) the geological heterogeneity of the area coupled with problems related to the geological map; b) the depth of lithic contact and/or rock exposure, and c) problems with the environmental correlation model used due to the polygenetic nature of the soils. This study confirms that the use of terrain attributes together with remote sensing data by an ANN approach can be a tool to facilitate soil mapping in Brazil, primarily due to the availability of low-cost remote sensing data and the ease by which terrain attributes can be obtained.

Artificial neural networks applied for soil class prediction in mountainous landscape of the Serra do Mar¹

Soil information is needed for managing the agricultural environment. The aim of this study was to apply artificial neural networks (ANNs) for the prediction of soil classes using orbital remote sensing products, terrain attributes derived from a digital elevation model and local geology information as data sources. This approach to digital soil mapping was evaluated in an area with a high degree of lithologic diversity in the Serra do Mar. The neural network simulator used in this study was JavaNNS and the backpropagation learning algorithm. For soil class prediction, different combinations of the selected discriminant variables were tested: elevation, declivity, aspect, curvature, curvature plan, curvature profile, topographic index, solar radiation, LS topographic factor, local geology information, and clay mineral indices, iron oxides and the normalized difference vegetation index (NDVI) derived from an image of a Landsat-7 Enhanced Thematic Mapper Plus (ETM+) sensor. With the tested sets, best results were obtained when all discriminant variables were associated with geological information (overall accuracy 93.2 - 95.6 %, Kappa index 0.924 - 0.951, for set 13). Excluding the variable profile curvature (set 12), overall accuracy ranged from 93.9 to 95.4 % and the Kappa index from 0.932 to 0.948. The maps based on the neural network classifier were consistent and similar to conventional soil maps drawn for the study area, although with more spatial details. The results show the potential of ANNs for soil class prediction in mountainous areas with lithological diversity.

Time-series forecasting of pollutant concentration levels using particle swarm optimization and artificial neural networks

This study evaluates the application of an intelligent hybrid system for time-series forecasting of atmospheric pollutant concentration levels. The proposed method consists of an artificial neural network combined with a particle swarm optimization algorithm. The method not only searches relevant time lags for the correct characterization of the time series, but also determines the best neural network architecture. An experimental analysis is performed using four real time series and the results are shown in terms of six performance measures. The experimental results demonstrate that the proposed methodology achieves a fair prediction of the presented pollutant time series by using compact networks.

Application of artificial neural networks as an alternative to volumetric water balance in drip irrigation management in watermelon crop

Precision irrigation seeks to establish strategies which achieve an efficient ratio between the volume of water used (reduction in input) and the productivity obtained (increase in production). There are several studies in the literature on strategies for achieving this efficiency, such as those dealing with the method of volumetric water balance (VWB). However, it is also of great practical and economic interest to set up versatile implementations of irrigation strategies that: (i) maintain the performance obtained with other implementations, (ii) rely on few computational resources, (iii) adapt well to field conditions, and (iv) allow easy modification of the irrigation strategy. In this study, such characteristics are achieved when using an Artificial Neural Network (ANN) to determine the period of irrigation for a watermelon crop in the Irrigation Perimeter of the Lower Acaraú, in the state of Ceará, Brazil. The Volumetric Water Balance was taken as the standard for comparing the management carried out with the proposed implementation of ANN. The statistical analysis demonstrates the effectiveness of the proposed management, which is able to replace VWB as a strategy in automation.

Classification of antimicrobial resistance using artificial neural networks and the relationship of 38 genes associated with the virulence of Escherichia coli isolates from broilers

Avian pathogenic Escherichia coli (APEC) is responsible for various pathological processes in birds and is considered as one of the principal causes of morbidity and mortality, associated with economic losses to the poultry industry. The objective of this study was to demonstrate that it is possible to predict antimicrobial resistance of 256 samples (APEC) using 38 different genes responsible for virulence factors, through a computer program of artificial neural networks (ANNs). A second target was to find the relationship between (PI) pathogenicity index and resistance to 14 antibiotics by statistical analysis. The results showed that the RNAs were able to make the correct classification of the behavior of APEC samples with a range from 74.22 to 98.44%, and make it possible to predict antimicrobial resistance. The statistical analysis to assess the relationship between the pathogenic index (PI) and resistance against 14 antibiotics showed that these variables are independent, i.e. peaks in PI can happen without changing the antimicrobial resistance, or the opposite, changing the antimicrobial resistance without a change in PI.

Forecasting of wind speeds and directions with artificial neural networks

In this master’s thesis, wind speeds and directions were modeled with the aim of developing suitable models for hourly, daily, weekly and monthly forecasting. Artificial Neural Networks implemented in MATLAB software were used to perform the forecasts. Three main types of artificial neural network were built, namely: Feed forward neural networks, Jordan Elman neural networks and Cascade forward neural networks. Four sub models of each of these neural networks were also built, corresponding to the four forecast horizons, for both wind speeds and directions. A single neural network topology was used for each of the forecast horizons, regardless of the model type. All the models were then trained with real data of wind speeds and directions collected over a period of two years in the municipal region of Puumala in Finland. Only 70% of the data was used for training, validation and testing of the models, while the second last 15% of the data was presented to the trained models for verification. The model outputs were then compared to the last 15% of the original data, by measuring the mean square errors and sum square errors between them. Based on the results, the feed forward networks returned the lowest generalization errors for hourly, weekly and monthly forecasts of wind speeds; Jordan Elman networks returned the lowest errors when used for forecasting of daily wind speeds. Cascade forward networks gave the lowest errors when used for forecasting daily, weekly and monthly wind directions; Jordan Elman networks returned the lowest errors when used for hourly forecasting. The errors were relatively low during training of the models, but shot up upon simulation with new inputs. In addition, a combination of hyperbolic tangent transfer functions for both hidden and output layers returned better results compared to other combinations of transfer functions. In general, wind speeds were more predictable as compared to wind directions, opening up opportunities for further research into building better models for wind direction forecasting.

Synergistic control of forearm based on accelerometer data and artificial neural networks

In the present study, we modeled a reaching task as a two-link mechanism. The upper arm and forearm motion trajectories during vertical arm movements were estimated from the measured angular accelerations with dual-axis accelerometers. A data set of reaching synergies from able-bodied individuals was used to train a radial basis function artificial neural network with upper arm/forearm tangential angular accelerations. The trained radial basis function artificial neural network for the specific movements predicted forearm motion from new upper arm trajectories with high correlation (mean, 0.9149-0.941). For all other movements, prediction was low (range, 0.0316-0.8302). Results suggest that the proposed algorithm is successful in generalization over similar motions and subjects. Such networks may be used as a high-level controller that could predict forearm kinematics from voluntary movements of the upper arm. This methodology is suitable for restoring the upper limb functions of individuals with motor disabilities of the forearm, but not of the upper arm. The developed control paradigm is applicable to upper-limb orthotic systems employing functional electrical stimulation. The proposed approach is of great significance particularly for humans with spinal cord injuries in a free-living environment. The implication of a measurement system with dual-axis accelerometers, developed for this study, is further seen in the evaluation of movement during the course of rehabilitation. For this purpose, training-related changes in synergies apparent from movement kinematics during rehabilitation would characterize the extent and the course of recovery. As such, a simple system using this methodology is of particular importance for stroke patients. The results underlie the important issue of upper-limb coordination.

Artificial neural networks (ANN): prediction of sensory measurements from instrumental data

The objective of this study was to predict by means of Artificial Neural Network (ANN), multilayer perceptrons, the texture attributes of light cheesecurds perceived by trained judges based on instrumental texture measurements. Inputs to the network were the instrumental texture measurements of light cheesecurd (imitative and fundamental parameters). Output variables were the sensory attributes consistency and spreadability. Nine light cheesecurd formulations composed of different combinations of fat and water were evaluated. The measurements obtained by the instrumental and sensory analyses of these formulations constituted the data set used for training and validation of the network. Network training was performed using a back-propagation algorithm. The network architecture selected was composed of 8-3-9-2 neurons in its layers, which quickly and accurately predicted the sensory texture attributes studied, showing a high correlation between the predicted and experimental values for the validation data set and excellent generalization ability, with a validation RMSE of 0.0506.

Identification of spectral lines of elements using artificial neural networks

Artificial neural networks (ANNs) are relatively new computational tools that have found extensive utilization in solving many complex real-world problems. This paper describes how an ANN can be used to identify the spectral lines of elements. The spectral lines of Cadmium (Cd), Calcium (Ca), Iron (Fe), Lithium (Li), Mercury (Hg), Potassium (K) and Strontium (Sr) in the visible range are chosen for the investigation. One of the unique features of this technique is that it uses the whole spectrum in the visible range instead of individual spectral lines. The spectrum of a sample taken with a spectrometer contains both original peaks and spurious peaks. It is a tedious task to identify these peaks to determine the elements present in the sample. ANNs capability of retrieving original data from noisy spectrum is also explored in this paper. The importance of the need of sufficient data for training ANNs to get accurate results is also emphasized. Two networks are examined: one trained in all spectral lines and other with the persistent lines only. The network trained in all spectral lines is found to be superior in analyzing the spectrum even in a noisy environment.