Portfolio selection using artificial intelligence

The application of artificial intelligence in finance is relatively new area of research. This project employed artificial neural networks (ANNs) that use both fundamental and technical inputs to predict future prices of widely held Australian stocks and use these predicted prices for stock portfolio selection over a long investment horizon. The research involved the creation and testing of a large number of possible network configurations and draws conclusions about ANN architectures and their overall suitability for the purpose of stock portfolio selection.

Artificial neural networks to predict activity type and energy expenditure in youth

Previous studies have demonstrated that pattern recognition approaches to accelerometer data reduction are feasible and moderately accurate in classifying activity type in children. Whether pattern recognition techniques can be used to provide valid estimates of physical activity (PA) energy expenditure in youth remains unexplored in the research literature. Purpose: The objective of this study is to develop and test artificial neural networks (ANNs) to predict PA type and energy expenditure (PAEE) from processed accelerometer data collected in children and adolescents. Methods: One hundred participants between the ages of 5 and 15 yr completed 12 activity trials that were categorized into five PA types: sedentary, walking, running, light-intensity household activities or games, and moderate-to-vigorous intensity games or sports. During each trial, participants wore an ActiGraph GTIM on the right hip, and (V) Over dotO(2) was measured using the Oxycon Mobile (Viasys Healthcare, Yorba Linda, CA) portable metabolic system. ANNs to predict PA type and PAEE (METs) were developed using the following features: 10th, 25th, 50th, 75th, and 90th percentiles and the lag one autocorrelation. To determine the highest time resolution achievable, we extracted features from 10-, 15-, 20-, 30-, and 60-s windows. Accuracy was assessed by calculating the percentage of windows correctly classified and root mean square en-or (RMSE). Results: As window size increased from 10 to 60 s, accuracy for the PA-type ANN increased from 81.3% to 88.4%. RMSE for the MET prediction ANN decreased from 1.1 METs to 0.9 METs. At any given window size, RMSE values for the MET prediction ANN were 30-40% lower than the conventional regression-based approaches. Conclusions: ANNs can be used to predict both PA type and PAEE in children and adolescents using count data from a single waist mounted accelerometer.

Identification of New Zealand bats in flight from analysis of echolocation calls by artificial neural networks.

Time-expanded and heterodyned echolocation calls of the New Zealand long-tailed Chalinolobus tuberculatus and lesser short-tailed bat Mystacina tuberculata were recorded and digitally analysed. Temporal and spectral parameters were measured from time-expanded calls and power spectra generated for both time-expanded and heterodyned calls. Artificial neural networks were trained to classify the calls of both species using temporal and spectral parameters and power spectra as input data. Networks were then tested using data not previously seen. Calls could be unambiguously identified using parameters and power spectra from time-expanded calls. A neural network, trained and tested using power spectra of calls from both species recorded using a heterodyne detector set to 40 kHz (the frequency with the most energy of the fundamental of C. tuberculatus call), could identify 99% and 84% of calls of C. tuberculatus and M. tuberculata, respectively. A second network, trained and tested using power spectra of calls from both species recorded using a heterodyne detector set to 27 kHz (the frequency with the most energy of the fundamental of M. tuberculata call), could identify 34% and 100% of calls of C. tuberculatus and M. tuberculata, respectively. This study represents the first use of neural networks for the identification of bats from their echolocation calls. It is also the first study to use power spectra of time-expanded and heterodyned calls for identification of chiropteran species. The ability of neural networks to identify bats from their echolocation calls is discussed, as is the ecology of both species in relation to the design of their echolocation calls.

Implementation of Art1 and Art2 Artificial Neural Networks on Ring and Mesh Architectures

The Artificial Neural Networks (ANNs) are being used to solve a variety of problems in pattern recognition, robotic control, VLSI CAD and other areas. In most of these applications, a speedy response from the ANNs is imperative. However, ANNs comprise a large number of artificial neurons, and a massive interconnection network among them. Hence, implementation of these ANNs involves execution of computer-intensive operations. The usage of multiprocessor systems therefore becomes necessary. In this article, we have presented the implementation of ART1 and ART2 ANNs on ring and mesh architectures. The overall system design and implementation aspects are presented. The performance of the algorithm on ring, 2-dimensional mesh and n-dimensional mesh topologies is presented. The parallel algorithm presented for implementation of ART1 is not specific to any particular architecture. The parallel algorithm for ARTE is more suitable for a ring architecture.

Characterization of Failure Modes in CFRP Composites - An ANN Approach

Carbon fiber reinforced polymer (CFRP) composite specimens with different thickness, geometry, and stacking sequences were subjected to fatigue spectrum loading in stages. Another set of specimens was subjected to static compression load. On-line acoustic Emission (AE) monitoring was carried out during these tests. Two artificial neural networks, Kohonen-self organizing feature map (KSOM), and multi-layer perceptron (MLP) have been developed for AE signal analysis. AE signals from specimens were clustered using the unsupervised learning KSOM. These clusters were correlated to the failure modes using available a priori information such as AE signal amplitude distributions, time of occurrence of signals, ultrasonic imaging, design of the laminates (stacking sequences, orientation of fibers), and AE parametric plots. Thereafter, AE signals generated from the rest of the specimens were classified by supervised learning MLP. The network developed is made suitable for on-line monitoring of AE signals in the presence of noise, which can be used for detection and identification of failure modes and their growth. The results indicate that the characteristics of AE signals from different failure modes in CFRP remain largely unaffected by the type of load, fiber orientation, and stacking sequences, they being representatives of the type of failure phenomena. The type of loading can have effect only on the extent of damage allowed before the specimens fail and hence on the number of AE signals during the test. The artificial neural networks (ANN) developed and the methods and procedures adopted show significant success in AE signal characterization under noisy environment (detection and identification of failure modes and their growth).

A novel neural network design for long range prediction of rainfall pattern

The importance of long-range prediction of rainfall pattern for devising and planning agricultural strategies cannot be overemphasized. However, the prediction of rainfall pattern remains a difficult problem and the desired level of accuracy has not been reached. The conventional methods for prediction of rainfall use either dynamical or statistical modelling. In this article we report the results of a new modelling technique using artificial neural networks. Artificial neural networks are especially useful where the dynamical processes and their interrelations for a given phenomenon are not known with sufficient accuracy. Since conventional neural networks were found to be unsuitable for simulating and predicting rainfall patterns, a generalized structure of a neural network was then explored and found to provide consistent prediction (hindcast) of all-India annual mean rainfall with good accuracy. Performance and consistency of this network are evaluated and compared with those of other (conventional) neural networks. It is shown that the generalized network can make consistently good prediction of annual mean rainfall. Immediate application and potential of such a prediction system are discussed.

Stress-Strain Prediction of Jointed Rocks using Artificial Neural Networks

The applicability of Artificial Neural Networks for predicting the stress-strain response of jointed rocks at varied confining pressures, strength properties and joint properties (frequency, orientation and strength of joints) has been studied in the present paper. The database is formed from the triaxial compression tests on different jointed rocks with different confining pressures and different joint properties reported by various researchers. This input data covers a wide range of rock strengths, varying from very soft to very hard. The network was trained using a 3 layered network with feed forward back propagation algorithm. About 85% of the data was used for training and remaining15% for testing the predicting capabilities of the network. Results from the analyses were very encouraging and demonstrated that the neural network approach is efficient in capturing the complex stress-strain behaviour of jointed rocks. A single neural network is demonstrated to be capable of predicting the stress-strain response of different rocks, whose intact strength vary from 11.32 MPa to 123 MPa and spacing of joints vary from 10 cm to 100 cm for confining pressures ranging from 0 to 13.8 MPa.

Intelligent prediction of ground vibration in coal formations using ANN

The present paper details the prediction of blast induced ground vibration, using artificial neural network. The data was generated from five different coal mines. Twenty one different parameters involving rock mass parameters, explosive parameters and blast design parameters, were used to develop the one comprehensive ANN model for five different coal bearing formations. A total of 131 datasets was used to develop the ANN model and 44 datasets was used to test the model. The developed ANN model was compared with the USBM model. The prediction capability to predict blast induced ground vibration, of the comprehensive ANN model was found to be superior.

A novel FOCAL technique based on BP-ANN

In this paper, the feed-forward back-propagation artificial neural network (BP-ANN) algorithm is introduced in the traditional Focus Calibration using Alignment procedure (FOCAL) technique, and a novel FOCAL technique based on BP-ANN is proposed. The effects of the parameters, such as the number of neurons on the hidden-layer and the number of training epochs, on the measurement accuracy are analyzed in detail. It is proved that the novel FOCAL technique based on BP-ANN is more reliable and it is a better choice for measurement of the image quality parameters. (c) 2005 Elsevier GmbH. All rights reserved.

Introduction to the development of an information management system for soil mix technology using artificial neural networks

This paper introduces current work in collating data from different projects using soil mix technology and establishing trends using artificial neural networks (ANNs). Variation in unconfined compressive strength as a function of selected soil mix variables (e.g., initial soil water content and binder dosage) is observed through the data compiled from completed and on-going soil mixing projects around the world. The potential and feasibility of ANNs in developing predictive models, which take into account a large number of variables, is discussed. The main objective of the work is the management and effective utilization of salient variables and the development of predictive models useful for soil mix technology design. Based on the observed success in the predictions made, this paper suggests that neural network analysis for the prediction of properties of soil mix systems is feasible. © ASCE 2011.

Prediction and elucidation of the population dynamics of Microcystis spp. in Lake Dianchi (China) by means of artificial neural networks

Lake Dianchi is a shallow and turbid lake, located in Southwest China. Since 1985, Lake Dianchi has experienced severe cyanabacterial blooms (dominated by Microcystis spp.). In extreme cases, the algal cell densities have exceeded three billion cells per liter. To predict and elucidate the population dynamics ofMicrocystis spp. in Lake Dianchi, a neural network based model was developed. The correlation coefficient (R 2) between the predicted algal concentrations by the model and the observed values was 0.911. Sensitivity analysis was performed to clarify the algal dynamics to the changes of environmental factors. The results of a sensitivity analysis of the neural network model suggested that small increases in pH could cause significantly reduced algal abundance. Further investigations on raw data showed that the response of Microcystis spp. concentration to pH increase was dependent on algal biomass and pH level. When Microcystis spp. population and pH were moderate or low, the response of Microcystis spp. population would be more likely to be positive in Lake Dianchi; contrarily, Microcystis spp. population in Lake Dianchi would be more likely to show negative response to pH increase when Microcystis spp. population and pH were high. The paper concluded that the extremely high concentration of algal population and high pH could explain the distinctive response of Microcystis spp. population to +1 SD (standard deviation) pH increase in Lake Dianchi. And the paper also elucidated the algal dynamics to changes of other environmental factors. One SD increase of water temperature (WT) had strongest positive relationship with Microcystis spp. biomass. Chemical oxygen demand (COD) and total phosphorus (TP) had strong positive effect on Microcystis spp. abundance while total nitrogen (TN), biological oxygen demand in five days (BOD5), and dissolved oxygen had only weak relationship with Microcystis spp. concentration. And transparency (Tr) had moderate positive relationship with Microcystis spp. concentration.

Prediction of molar absorptivities of color reagents and their color reactions with yttrium by artificial neural networks

The new topological indices A(x1)-A(x3) suggested in our laboratories were applied to the study of structure-property relationships between color reagents and their color reactions with yttrium. The topological indices of twenty asymmetrical phosphone bisazo derivatives of chromotropic acid were calculated. The work shows that QSPR can be used as a novel aid to predict the molar absorptivities of color reactions and in the long term to be helpful tool in-color reagent design. Multiple regression analysis and neural network were employed simultaneously in this study. The results demonstrated the feasibility and the effectiveness of the method.

Classification of valence changes of trivalent rare earth ions in alkaline earth borates using artificial neural networks

The investigations of classification on the valence changes from RE3+ to RE2+ (RE = Eu, Sm, Yb, Tm) in host compounds of alkaline earth berate were performed using artificial neural networks (ANNs). For comparison, the common methods of pattern recognition, such as SIMCA, KNN, Fisher discriminant analysis and stepwise discriminant analysis were adopted. A learning set consisting of 24 host compounds and a test set consisting of 12 host compounds were characterized by eight crystal structure parameters. These parameters were reduced from 8 to 4 by leaps and bounds algorithm. The recognition rates from 87.5 to 95.8% and prediction capabilities from 75.0 to 91.7% were obtained. The results provided by ANN method were better than that achieved by the other four methods. (C) 1999 Elsevier Science B.V. All rights reserved.

A Hybrid Forward Algorithm for RBF Neural Network Construction

This paper proposes a novel hybrid forward algorithm (HFA) for the construction of radial basis function (RBF) neural networks with tunable nodes. The main objective is to efficiently and effectively produce a parsimonious RBF neural network that generalizes well. In this study, it is achieved through simultaneous network structure determination and parameter optimization on the continuous parameter space. This is a mixed integer hard problem and the proposed HFA tackles this problem using an integrated analytic framework, leading to significantly improved network performance and reduced memory usage for the network construction. The computational complexity analysis confirms the efficiency of the proposed algorithm, and the simulation results demonstrate its effectiveness

Learning soft computing control strategies in a modular neural network architecture

Modelling and control of nonlinear dynamical systems is a challenging problem since the dynamics of such systems change over their parameter space. Conventional methodologies for designing nonlinear control laws, such as gain scheduling, are effective because the designer partitions the overall complex control into a number of simpler sub-tasks. This paper describes a new genetic algorithm based method for the design of a modular neural network (MNN) control architecture that learns such partitions of an overall complex control task. Here a chromosome represents both the structure and parameters of an individual neural network in the MNN controller and a hierarchical fuzzy approach is used to select the chromosomes required to accomplish a given control task. This new strategy is applied to the end-point tracking of a single-link flexible manipulator modelled from experimental data. Results show that the MNN controller is simple to design and produces superior performance compared to a single neural network (SNN) controller which is theoretically capable of achieving the desired trajectory. (C) 2003 Elsevier Ltd. All rights reserved.