Using non-parametric search algorithms to forecast daily excess stock returns

Are the learning procedures of genetic algorithms (GAs) able to generate optimal architectures for artificial neural networks (ANNs) in high frequency data? In this experimental study,GAs are used to identify the best architecture for ANNs. Additional learning is undertaken by the ANNs to forecast daily excess stock returns. No ANN architectures were able to outperform a random walk,despite the finding of non-linearity in the excess returns. This failure is attributed to the absence of suitable ANN structures and further implies that researchers need to be cautious when making inferences from ANN results that use high frequency data.

Exploratory database visualisation: the application and assessment of data and dimensionality reduction

This thesis describes the development of a complete data visualisation system for large tabular databases, such as those commonly found in a business environment. A state-of-the-art 'cyberspace cell' data visualisation technique was investigated and a powerful visualisation system using it was implemented. Although allowing databases to be explored and conclusions drawn, it had several drawbacks, the majority of which were due to the three-dimensional nature of the visualisation. A novel two-dimensional generic visualisation system, known as MADEN, was then developed and implemented, based upon a 2-D matrix of 'density plots'. MADEN allows an entire high-dimensional database to be visualised in one window, while permitting close analysis in 'enlargement' windows. Selections of records can be made and examined, and dependencies between fields can be investigated in detail. MADEN was used as a tool for investigating and assessing many data processing algorithms, firstly data-reducing (clustering) methods, then dimensionality-reducing techniques. These included a new 'directed' form of principal components analysis, several novel applications of artificial neural networks, and discriminant analysis techniques which illustrated how groups within a database can be separated. To illustrate the power of the system, MADEN was used to explore customer databases from two financial institutions, resulting in a number of discoveries which would be of interest to a marketing manager. Finally, the database of results from the 1992 UK Research Assessment Exercise was analysed. Using MADEN allowed both universities and disciplines to be graphically compared, and supplied some startling revelations, including empirical evidence of the 'Oxbridge factor'.

Adaptive electrical signal post-processing in optical communications systems

Improving bit error rates in optical communication systems is a difficult and important problem. The error correction must take place at high speed and be extremely accurate. We show the feasibility of using hardware implementable machine learning techniques. This may enable some error correction at the speed required.

Practical methods of tracking of nonstationary time series applied to real-world data

In this paper, we discuss some practical implications for implementing adaptable network algorithms applied to non-stationary time series problems. Two real world data sets, containing electricity load demands and foreign exchange market prices, are used to test several different methods, ranging from linear models with fixed parameters, to non-linear models which adapt both parameters and model order on-line. Training with the extended Kalman filter, we demonstrate that the dynamic model-order increment procedure of the resource allocating RBF network (RAN) is highly sensitive to the parameters of the novelty criterion. We investigate the use of system noise for increasing the plasticity of the Kalman filter training algorithm, and discuss the consequences for on-line model order selection. The results of our experiments show that there are advantages to be gained in tracking real world non-stationary data through the use of more complex adaptive models.

Adaptive electrical signal post-processing in optical communications systems

Improving bit error rates in optical communication systems is a difficult and important problem. The error correction must take place at high speed and be extremely accurate. We show the feasibility of using hardware implementable machine learning techniques. This may enable some error correction at the speed required.

The Fuzzy-Neuro Classifier for Decision Support

This paper aims at development of procedures and algorithms for application of artificial intelligence tools to acquire process and analyze various types of knowledge. The proposed environment integrates techniques of knowledge and decision process modeling such as neural networks and fuzzy logic-based reasoning methods. The problem of an identification of complex processes with the use of neuro-fuzzy systems is solved. The proposed classifier has been successfully applied for building one decision support systems for solving managerial problem.

Simulating Membrane Systems in Digital Computers

* Work partially supported by contribution of EU commission Under The Fifth Framework Programme, project “MolCoNet” IST-2001-32008.

Offline Handwriting Recognition Using Genetic Algorithm

In this paper, a new method for offline handwriting recognition is presented. A robust algorithm for handwriting segmentation has been described here with the help of which individual characters can be segmented from a word selected from a paragraph of handwritten text image which is given as input to the module. Then each of the segmented characters are converted into column vectors of 625 values that are later fed into the advanced neural network setup that has been designed in the form of text files. The networks has been designed with quadruple layered neural network with 625 input and 26 output neurons each corresponding to a character from a-z, the outputs of all the four networks is fed into the genetic algorithm which has been developed using the concepts of correlation, with the help of this the overall network is optimized with the help of genetic algorithm thus providing us with recognized outputs with great efficiency of 71%.

Intelligent Computations for Flood Monitoring

Floods represent the most devastating natural hazards in the world, affecting more people and causing more property damage than any other natural phenomena. One of the important problems associated with flood monitoring is flood extent extraction from satellite imagery, since it is impractical to acquire the flood area through field observations. This paper presents a method to flood extent extraction from synthetic-aperture radar (SAR) images that is based on intelligent computations. In particular, we apply artificial neural networks, self-organizing Kohonen’s maps (SOMs), for SAR image segmentation and classification. We tested our approach to process data from three different satellite sensors: ERS-2/SAR (during flooding on Tisza river, Ukraine and Hungary, 2001), ENVISAT/ASAR WSM (Wide Swath Mode) and RADARSAT-1 (during flooding on Huaihe river, China, 2007). Obtained results showed the efficiency of our approach.

Intelligent System for Computer Aided Assembly Process Planning

This paper presents the concepts of the intelligent system for aiding of the module assembly technology. The first part of this paper presents a project of intelligent support system for computer aided assembly process planning. The second part includes a coincidence description of the chosen aspects of implementation of this intelligent system using technologies of artificial intelligence (artificial neural networks, fuzzy logic, expert systems and genetic algorithms).

The Cascade Neo-Fuzzy Architecture and its Online Learning Algorithm

In the paper learning algorithm for adjusting weight coefficients of the Cascade Neo-Fuzzy Neural Network (CNFNN) in sequential mode is introduced. Concerned architecture has the similar structure with the Cascade-Correlation Learning Architecture proposed by S.E. Fahlman and C. Lebiere, but differs from it in type of artificial neurons. CNFNN consists of neo-fuzzy neurons, which can be adjusted using high-speed linear learning procedures. Proposed CNFNN is characterized by high learning rate, low size of learning sample and its operations can be described by fuzzy linguistic “if-then” rules providing “transparency” of received results, as compared with conventional neural networks. Using of online learning algorithm allows to process input data sequentially in real time mode.

Short-term wind power forecasting using Gaussian processes

Since wind has an intrinsically complex and stochastic nature, accurate wind power forecasts are necessary for the safety and economics of wind energy utilization. In this paper, we investigate a combination of numeric and probabilistic models: one-day-ahead wind power forecasts were made with Gaussian Processes (GPs) applied to the outputs of a Numerical Weather Prediction (NWP) model. Firstly the wind speed data from NWP was corrected by a GP. Then, as there is always a defined limit on power generated in a wind turbine due the turbine controlling strategy, a Censored GP was used to model the relationship between the corrected wind speed and power output. To validate the proposed approach, two real world datasets were used for model construction and testing. The simulation results were compared with the persistence method and Artificial Neural Networks (ANNs); the proposed model achieves about 11% improvement in forecasting accuracy (Mean Absolute Error) compared to the ANN model on one dataset, and nearly 5% improvement on another.

Fiber nonlinearity-induced penalty reduction in CO-OFDM by ANN-based nonlinear equalization

We experimentally demonstrate ∼2 dB quality (Q)-factor enhancement in terms of fiber nonlinearity compensation of 40 Gb/s 16 quadrature amplitude modulation coherent optical orthogonal frequency-division multiplexing at 2000 km, using a nonlinear equalizer (NLE) based on artificial neural networks (ANN). Nonlinearity alleviation depends on escalation of the ANN training overhead and the signal bit rate, reporting ∼4 dB Q-factor enhancement at 70 Gb/s, whereas a reduction of the number of ANN neurons annihilates the NLE performance. An enhanced performance by up to ∼2 dB in Q-factor compared to the inverse Volterra-series transfer function NLE leads to a breakthrough in the efficiency of ANN.

Handling high level of censoring for endovascular aortic repair risk prediction

Feature selection is important in medical field for many reasons. However, selecting important variables is a difficult task with the presence of censoring that is a unique feature in survival data analysis. This paper proposed an approach to deal with the censoring problem in endovascular aortic repair survival data through Bayesian networks. It was merged and embedded with a hybrid feature selection process that combines cox's univariate analysis with machine learning approaches such as ensemble artificial neural networks to select the most relevant predictive variables. The proposed algorithm was compared with common survival variable selection approaches such as; least absolute shrinkage and selection operator LASSO, and Akaike information criterion AIC methods. The results showed that it was capable of dealing with high censoring in the datasets. Moreover, ensemble classifiers increased the area under the roc curves of the two datasets collected from two centers located in United Kingdom separately. Furthermore, ensembles constructed with center 1 enhanced the concordance index of center 2 prediction compared to the model built with a single network. Although the size of the final reduced model using the neural networks and its ensembles is greater than other methods, the model outperformed the others in both concordance index and sensitivity for center 2 prediction. This indicates the reduced model is more powerful for cross center prediction.

Modeling the Impacts of Climate Change on Phytogeographical Units. A Case Study of the Moesz Line

Regional climate models (RCMs) provide reliable climatic predictions for the next 90 years with high horizontal and temporal resolution. In the 21st century northward latitudinal and upward altitudinal shift of the distribution of plant species and phytogeographical units is expected. It is discussed how the modeling of phytogeographical unit can be reduced to modeling plant distributions. Predicted shift of the Moesz line is studied as case study (with three different modeling approaches) using 36 parameters of REMO regional climate data-set, ArcGIS geographic information software, and periods of 1961-1990 (reference period), 2011-2040, and 2041-2070. The disadvantages of this relatively simple climate envelope modeling (CEM) approach are then discussed and several ways of model improvement are suggested. Some statistical and artificial intelligence (AI) methods (logistic regression, cluster analysis and other clustering methods, decision tree, evolutionary algorithm, artificial neural network) are able to provide development of the model. Among them artificial neural networks (ANN) seems to be the most suitable algorithm for this purpose, which provides a black box method for distribution modeling.