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

Infrared face recogniton by optimum-path forest

This paper presents a novel, fast and accurate appearance-based method for infrared face recognition. By introducing the Optimum-Path Forest classifier, our objective is to get good recognition rates and effectively reduce the computational effort. The feature extraction procedure is carried out by PCA, and the results are compared to two other well known supervised learning classifiers; Artificial Neural Networks and Support Vector Machines. The achieved performance asserts the promise of the proposed framework. ©2009 IEEE.

Fuzzy community structure detection by particle competition and cooperation

Identification and classification of overlapping nodes in networks are important topics in data mining. In this paper, a network-based (graph-based) semi-supervised learning method is proposed. It is based on competition and cooperation among walking particles in a network to uncover overlapping nodes by generating continuous-valued outputs (soft labels), corresponding to the levels of membership from the nodes to each of the communities. Moreover, the proposed method can be applied to detect overlapping data items in a data set of general form, such as a vector-based data set, once it is transformed to a network. Usually, label propagation involves risks of error amplification. In order to avoid this problem, the proposed method offers a mechanism to identify outliers among the labeled data items, and consequently prevents error propagation from such outliers. Computer simulations carried out for synthetic and real-world data sets provide a numeric quantification of the performance of the method. © 2012 Springer-Verlag.

OPF-MRF: Optimum-path forest and Markov random fields for contextual-based image classification

Some machine learning methods do not exploit contextual information in the process of discovering, describing and recognizing patterns. However, spatial/temporal neighboring samples are likely to have same behavior. Here, we propose an approach which unifies a supervised learning algorithm - namely Optimum-Path Forest - together with a Markov Random Field in order to build a prior model holding a spatial smoothness assumption, which takes into account the contextual information for classification purposes. We show its robustness for brain tissue classification over some images of the well-known dataset IBSR. © 2013 Springer-Verlag.

Algoritmos de aprendizado semi-supervisionado baseados em grafos aplicados na bioinformática

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Segmentação interativa de imagens utilizando competição e cooperação entre partículas

Pós-graduação em Ciência da Computação - IBILCE

Network-based high level data classification

Traditional supervised data classification considers only physical features (e. g., distance or similarity) of the input data. Here, this type of learning is called low level classification. On the other hand, the human (animal) brain performs both low and high orders of learning and it has facility in identifying patterns according to the semantic meaning of the input data. Data classification that considers not only physical attributes but also the pattern formation is, here, referred to as high level classification. In this paper, we propose a hybrid classification technique that combines both types of learning. The low level term can be implemented by any classification technique, while the high level term is realized by the extraction of features of the underlying network constructed from the input data. Thus, the former classifies the test instances by their physical features or class topologies, while the latter measures the compliance of the test instances to the pattern formation of the data. Our study shows that the proposed technique not only can realize classification according to the pattern formation, but also is able to improve the performance of traditional classification techniques. Furthermore, as the class configuration's complexity increases, such as the mixture among different classes, a larger portion of the high level term is required to get correct classification. This feature confirms that the high level classification has a special importance in complex situations of classification. Finally, we show how the proposed technique can be employed in a real-world application, where it is capable of identifying variations and distortions of handwritten digit images. As a result, it supplies an improvement in the overall pattern recognition rate.

On the use of a low-cost thermal sensor to improve kinect people detection in a mobile robot

[EN]Detecting people is a key capability for robots that operate in populated environments. In this paper, we have adopted a hierarchical approach that combines classifiers created using supervised learning in order to identify whether a person is in the view-scope of the robot or not. Our approach makes use of vision, depth and thermal sensors mounted on top of a mobile platform.

Efficient ultrasonic signal processing techniques for aided medical diagnostics

Ultrasound imaging is widely used in medical diagnostics as it is the fastest, least invasive, and least expensive imaging modality. However, ultrasound images are intrinsically difficult to be interpreted. In this scenario, Computer Aided Detection (CAD) systems can be used to support physicians during diagnosis providing them a second opinion. This thesis discusses efficient ultrasound processing techniques for computer aided medical diagnostics, focusing on two major topics: (i) Ultrasound Tissue Characterization (UTC), aimed at characterizing and differentiating between healthy and diseased tissue; (ii) Ultrasound Image Segmentation (UIS), aimed at detecting the boundaries of anatomical structures to automatically measure organ dimensions and compute clinically relevant functional indices. Research on UTC produced a CAD tool for Prostate Cancer detection to improve the biopsy protocol. In particular, this thesis contributes with: (i) the development of a robust classification system; (ii) the exploitation of parallel computing on GPU for real-time performance; (iii) the introduction of both an innovative Semi-Supervised Learning algorithm and a novel supervised/semi-supervised learning scheme for CAD system training that improve system performance reducing data collection effort and avoiding collected data wasting. The tool provides physicians a risk map highlighting suspect tissue areas, allowing them to perform a lesion-directed biopsy. Clinical validation demonstrated the system validity as a diagnostic support tool and its effectiveness at reducing the number of biopsy cores requested for an accurate diagnosis. For UIS the research developed a heart disease diagnostic tool based on Real-Time 3D Echocardiography. Thesis contributions to this application are: (i) the development of an automated GPU based level-set segmentation framework for 3D images; (ii) the application of this framework to the myocardium segmentation. Experimental results showed the high efficiency and flexibility of the proposed framework. Its effectiveness as a tool for quantitative analysis of 3D cardiac morphology and function was demonstrated through clinical validation.

Classification and selection of biomarkers in genomic data using LASSO

High-throughput gene expression technologies such as microarrays have been utilized in a variety of scientific applications. Most of the work has been on assessing univariate associations between gene expression with clinical outcome (variable selection) or on developing classification procedures with gene expression data (supervised learning). We consider a hybrid variable selection/classification approach that is based on linear combinations of the gene expression profiles that maximize an accuracy measure summarized using the receiver operating characteristic curve. Under a specific probability model, this leads to consideration of linear discriminant functions. We incorporate an automated variable selection approach using LASSO. An equivalence between LASSO estimation with support vector machines allows for model fitting using standard software. We apply the proposed method to simulated data as well as data from a recently published prostate cancer study.

Fuzzy min-max neural networks for categorical data: application to missing data imputation

The fuzzy min–max neural network classifier is a supervised learning method. This classifier takes the hybrid neural networks and fuzzy systems approach. All input variables in the network are required to correspond to continuously valued variables, and this can be a significant constraint in many real-world situations where there are not only quantitative but also categorical data. The usual way of dealing with this type of variables is to replace the categorical by numerical values and treat them as if they were continuously valued. But this method, implicitly defines a possibly unsuitable metric for the categories. A number of different procedures have been proposed to tackle the problem. In this article, we present a new method. The procedure extends the fuzzy min–max neural network input to categorical variables by introducing new fuzzy sets, a new operation, and a new architecture. This provides for greater flexibility and wider application. The proposed method is then applied to missing data imputation in voting intention polls. The micro data—the set of the respondents’ individual answers to the questions—of this type of poll are especially suited for evaluating the method since they include a large number of numerical and categorical attributes.

Gear dynamics monitoring using discrete wavelet transformation and multi-layer perceptron neural networks

This paper presents a multi-stage algorithm for the dynamic condition monitoring of a gear. The algorithm provides information referred to the gear status (fault or normal condition) and estimates the mesh stiffness per shaft revolution in case that any abnormality is detected. In the first stage, the analysis of coefficients generated through discrete wavelet transformation (DWT) is proposed as a fault detection and localization tool. The second stage consists in establishing the mesh stiffness reduction associated with local failures by applying a supervised learning mode and coupled with analytical models. To do this, a multi-layer perceptron neural network has been configured using as input features statistical parameters sensitive to torsional stiffness decrease and derived from wavelet transforms of the response signal. The proposed method is applied to the gear condition monitoring and results show that it can update the mesh dynamic properties of the gear on line.