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Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
July 8, 2008
Outline
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
3 Experiments And Results For FFNN 4 Experiments And Results For SVR 5 Comparison 6 Conclusion And Future Work 7 APPENDIX
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
INTRODUCTION
Abbreviations
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
Feed Forward Neural Networks AutoRegressive Integrated Moving Average Support Vector Regression SVR using Polynomial Kernel SVR using Radial Basis Function Kernel AutoCorrelation Function Partial AutoCorrelation function
Literature Survey
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
Financial time series: nonlinear, one of noisiest and most dicult signals to forecast
Problem Denition
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
ARIMA FFNN SVR for one-day-ahead forecasting performance on three important indices in Indian stock market: BSE Sensex CNX IT S&P CNX Nifty
Error Measures
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
t =1
|Et | N where Yt ,Et represent desired outputs and corresponding errors at t=1,2,...,N respectively. Directional Symmetry (DS) dcorrect 100 N where dcorrect = number of times the forecaster predicted the direction of the series right DS = MAE =
t =1
Background
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
ARIMA
go
FFNN
go
SVR
go
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
Model Identication
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
q 1 1 0 1 0 0 0 2 2 0 1 2 1 2 2 0 0 0 2 2 2 1 1 1 2 1 0
MAPE 1.351 1.362 1.406 1.413 1.424 1.425 1.428 1.429 1.430 1.432 1.435 1.442 1.468 1.472 1.661 2.100 2.754 3.188 20.078 20.094 21.819 22.268 22.776 23.246 24.551 53.822 65.824
DS 79.49 74.87 77.95 74.36 77.95 78.46 76.41 74.36 76.41 75.38 76.41 76.92 74.87 77.44 74.36 64.10 65.13 68.21 58.46 58.46 55.38 52.82 55.38 52.31 50.26 46.15 41.03
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
FFNN Parameters
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
FFNN Parameter Hidden layers Trans func in hidden layer Trans func in output layer
Values Tried 1,2 tanh, sigmoid tanh, sigmoid , linear [2 1],[3 1],[5 1],[7 1],[10 1],[15 1],[20 1], [40 1],[3 2 1],[5 2 1],[5 3 1],[7 2 1], [7 3 1],[7 5 1],[10 2 1],[10 3 1], [10 5 1],[10 7 1],[15 2 1],[15 3 1], [15 5 1],[15 7 1],[15 10 1] 5,7,10,20,40,60,80 1
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
S&P CNX Nifty 1.0834 10.8195 S&P CNX Nifty 66.9524 50.0907
Max DS Avg DS
Summary Very good performance for value forecasting Visible eect of random weight initialisation
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
Transfer function Per Layer [tanh tanh lin] [sigmoid lin] [sigmoid sigmoid lin]
Window Size 80 60 80
Transfer function Per Layer [tanh tanh] [sigmoid lin] [tanh lin]
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
# of models with MAPE<2 and linear trans funct in last layer 699 2220 137 # of models with DS>60 and linear trans funct in last layer 21 7 74
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
SVRPOLY Vs SVRRBF
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
Min MAPE SVRPOLY SVRRBF 1.4089 3.3324 1.4695 3.8992 1.7230 1.7726 Max SVRPOLY 58.5492 55.2343 61.9048 DS SVRRBF 50.1233 48.2390 51.6624
Avg MAPE SVRPOLY SVRRBF 2.5730 5.5208 2.4327 6.9512 2.5094 3.5316 Avg SVRPOLY 49.9497 49.9724 54.1753 DS SVRRBF 40.2311 41.0412 43.7640
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
d 2 2 2 3 2 4
d 2 2 2 3 3
Observations Best t: polynomial kernel of degree d =2 Higher values of C Very small values of
S&P CXT Nifty MAPE 1.7230 1.7883 2.2224 2.4657 3.5384 3.6755 MAE 98.6894 99.6453 123.0545 140.2473 202.6957 212.2441 DS 61.9048 57.1429 58.3333 45.6790 57.4468 56.0976 C 325315.10 474668.02 162817.77 524259.16 333194.98 606613.45 0.0153 0.0212 0.0208 0.0187 0.0201 0.0094 d 2 2 4 4 4 2 4.7430 1.5805 3.2448 0.1475 1.4261 2.8840 r 0.9691 1.4250 3.2247 3.9702 1.3642 4.4192
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
COMPARISON
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
Conclusion
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
ARIMA: ARIMA(1,1,1) is better t than other ARIMA models FFNN: Models with linear transfer function in the last layer perform better SVR: SVR models with polynomial kernels of degree 2 are better t than other SVR models Value Forecasting: FFNN models perform better than ARIMA and SVR for these three series Directional Forecasting: ARIMA models perform better than FFNN and SVR for these three series
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
Future Work
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
Addition of technical indicators such as Moving Average (MA), Moving Average Convergence/Divergence (MACD), On Balance Volume (OBV) etc[14, 18, 8] Addition of fundamental factors such as Price Earnings ratio (PE ratio), rate of change of company sales, Price Dividend ratio (PD ratio), rate of change of prot margin etc[1] N-days-ahead forecasting Forecasting on several other series Use of combining methods such as TopK, Best, DTopK, AFTER etc[19, 15]
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
THANKS!
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
APPENDIX
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
ARIMA
[appendix]
ARIMA Equation
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
where:- AR part: = 1
i =1 q
i Li , j Lj
j =1
MA part: = 1 +
d
I(dierence) part: = (1 L1 )d Here Xt 1 , Xt 2 , ......X2 , X1 is the time series data L is lag operator, i.e. Li Xt = Xt i , i and j are the model parameters, t is a white noise process with zero mean and variance 2 .
ARIMA Methodology
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
Model Identication using ACF and PACF plots or other methods Model Estimation using methods such as likelihood or Bayesian Forecasting
go back
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
FFNN
[appendix]
A Simple Neuron
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
y = (
i =1
wi xi )
Transfer Functions
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Sigmoid Equation a= 1 1 + e n
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
FFNN
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References go back
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
SVR
[appendix]
Basic Principle
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Example 1: Classication
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
Example 2: Regression
m2 f (m1 , m2 , r ) = C m1 r2
log
g (x , y , z ) = ln(f (m1 , m2 , r )) = ln C + ln m1 + ln m2 2 ln r = c + x + y 2z
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
SVM(1)
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
Dual Form
n
maximize:
i =1
1 2
i j ci cj xi xj
i ,j n
i ci = 0
SVM(2)
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
i ci xi
f =
i =1
i ci xi xj b =
i SV
i ci xi xj b
Soft Margin
minimize:
1 ||w ||2 + C 2
i ,
i
subject to: ci (w xi b ) 1 i , : 1 i n.
SVR
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
minimize:
1 ||w ||2 + C 2
(i + i )
i =1
yi wi , xi b + i wi , xi + b yi + i subject to: i + i 0
Kernels
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
graphical representation:
go back
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References
REFERENCES
References I
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR A. Atiya, N. Talaat, and S. Shaheen. An ecient stock market forecasting model using neural networks. Neural Networks,1997., International Conference on, 4:21122115 vol.4, Jun 1997. E. Michael Azo. Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References Neural Network Time Series forecasting of Financial Markets. John Wiley & Sons, 1994. G. E. P. Box, G. M. Jenkins, and G. C. Reinsel. Time Series Analysis, Forecasting, and Control. Prentice-Hall, Englewood Clis, New Jersey, third edition, 1994. Lijuan Cao and Francis E.H Tay. Financial forecasting using support vector machines. Neural Computing & Applications, 10(2):184192, May 2001. Chon Lung Chai. Finding kernel function for stock market prediction with support vector regression. Technical report, Universiti Teknologi Malaysia, 2006. Wun-Hua Chen, Jen-Ying Shih, and Soushan Wu. Comparison of support-vector machines and back propagation neural networks in forecasting the six major asian stock markets. International Journal of Electronic Finance, 1(1):4967, January 2006. Wei Cheng, Lorry Wagner, and Chien-Hua Lin. Forecasting the 30-year u.s. treasury bond with a system of neural networks.
References II
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR Wei Cheng, Lorry Wagner, and Chien-Hua Lin. Forecasting the 30-year u.s. treasury bond with a system of neural networks. Shirley Gregor Feng Lin, Xing Huo Yu and Richard Irons. Time series forecasting with neural networks. Complexity International, 2, April 1995. Boyd M.S. Kermanshahi B. Kohzadi, N. and I. Kaastra. A comparison of articial neural network and time series model for forecasting commodity price. Neurocomputing, 10:169181, 1996. M. Kumar and M. Thenmozhi. Forecasting nifty index futures returns using neural network and arima models. Financial Engineering and Applications, 437, 2004. Jason E. Kutsurelis. Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References Forecasting nancial markets using neural networks: An analysis of methods and accuracy. Mohan Neeraj, Jha Pankaj, Laha Arnab Kumar, and Dutta Goutam. Articial neural network models for forecasting stock price index in bombay stock exchange. IIMA Working Papers 2005-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department, October 2005. available at http://ideas.repec.org/p/iim/iimawp/2005-10-01.html. Mohan Neeraj, Jha Pankaj, Laha Arnab Kumar, and Dutta Goutam. Articial neural network models for forecasting stock price index in bombay stock exchange. IIMA Working Papers 2005-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department, October 2005.
Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR
References III
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR Abhishek Seth. On using a multitude of time series forecasting models. Mtech thesis, Kanwal Rekhi School of Information Technology, IIT Bombay, 2006. Talaat N. Shaheen S. Atiya A. Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Y. Yang and H. Zou. Conclusion And Future Work APPENDIX ARIMA FFNN SVR References Combining time series models for forecasting, 2002. An ecient stock market forecasting model using neural networks. 1997. Theodore B. Trafalis and Huseyin Ince. Support vector machine for regression and applications to nancial forecasting. ijcnn, 06:6348, 2000. Chi-Cheong Chris Wong, Man-Chung Chan, and Chi-Chung Lam. Financial time series forecasting by neural network using conjugate gradient learning algorithm and multiple linear regression weight initialization. Computing in Economics and Finance 2000 61, Society for Computational Economics, July 2000.